A Mean-Field Formulation for Optimal Multi-Period Asset-Liability Mean-Variance Portfolio Selection with an Uncertain Exit Time

Abstract

This paper is concerned with optimal multi-period asset-liability mean-variance portfolio selection with an uncertain exit time. By extending the current mean-field theory and proposing two dimensional mean-field formulation, the analytical optimal strategies and efficient frontiers are successfully derived. Sensitivity analysis is also presented to help the investor understand the influences of liability and uncertain exit time.