{"id":"https://openalex.org/W3036368173","doi":"https://doi.org/10.1057/s41274-017-0232-5","title":"A mean-field formulation for multi-period asset\u2013liability mean\u2013variance portfolio selection with an uncertain exit time","display_name":"A mean-field formulation for multi-period asset\u2013liability mean\u2013variance portfolio selection with an uncertain exit time","publication_year":2017,"publication_date":"2017-05-04","ids":{"openalex":"https://openalex.org/W3036368173","doi":"https://doi.org/10.1057/s41274-017-0232-5","mag":"3036368173"},"language":"en","primary_location":{"id":"doi:10.1057/s41274-017-0232-5","is_oa":false,"landing_page_url":"https://doi.org/10.1057/s41274-017-0232-5","pdf_url":null,"source":{"id":"https://openalex.org/S169988927","display_name":"Journal of the Operational Research Society","issn_l":"0160-5682","issn":["0160-5682","1476-9360"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319703","host_organization_name":"Palgrave Macmillan","host_organization_lineage":["https://openalex.org/P4310319703","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Palgrave Macmillan","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of the Operational Research Society","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://ira.lib.polyu.edu.hk/bitstream/10397/74480/1/Li_Mean-Field_Formulation_Multi-Period.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5027772944","display_name":"Xiangyu Cui","orcid":"https://orcid.org/0000-0003-1749-4513"},"institutions":[{"id":"https://openalex.org/I181679659","display_name":"Shanghai University of Finance and Economics","ror":"https://ror.org/00wtvfq62","country_code":"CN","type":"education","lineage":["https://openalex.org/I181679659"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiangyu Cui","raw_affiliation_strings":["School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China"],"affiliations":[{"raw_affiliation_string":"School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China","institution_ids":["https://openalex.org/I181679659"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100341868","display_name":"Xun Li","orcid":"https://orcid.org/0000-0003-0493-417X"},"institutions":[{"id":"https://openalex.org/I14243506","display_name":"Hong Kong Polytechnic University","ror":"https://ror.org/0030zas98","country_code":"HK","type":"education","lineage":["https://openalex.org/I14243506"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Xun Li","raw_affiliation_strings":["Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China"],"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China","institution_ids":["https://openalex.org/I14243506"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101619395","display_name":"Xianping Wu","orcid":"https://orcid.org/0000-0003-2248-9559"},"institutions":[{"id":"https://openalex.org/I187400657","display_name":"South China Normal University","ror":"https://ror.org/01kq0pv72","country_code":"CN","type":"education","lineage":["https://openalex.org/I187400657"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Xianping Wu","raw_affiliation_strings":["School of Mathematical Sciences, South China Normal University, Guangzhou, China"],"affiliations":[{"raw_affiliation_string":"School of Mathematical Sciences, South China Normal University, Guangzhou, China","institution_ids":["https://openalex.org/I187400657"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5009029027","display_name":"Lan Yi","orcid":null},"institutions":[{"id":"https://openalex.org/I159948400","display_name":"Jinan University","ror":"https://ror.org/02xe5ns62","country_code":"CN","type":"education","lineage":["https://openalex.org/I159948400"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Lan Yi","raw_affiliation_strings":["Management School, Jinan University, Guangzhou, China"],"affiliations":[{"raw_affiliation_string":"Management School, Jinan University, Guangzhou, China","institution_ids":["https://openalex.org/I159948400"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5101619395"],"corresponding_institution_ids":["https://openalex.org/I187400657"],"apc_list":null,"apc_paid":null,"fwci":0.538,"has_fulltext":true,"cited_by_count":5,"citation_normalized_percentile":{"value":0.75063751,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"69","issue":"4","first_page":"487","last_page":"499"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9979000091552734,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9976999759674072,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6708003282546997},{"id":"https://openalex.org/keywords/efficient-frontier","display_name":"Efficient frontier","score":0.6371392607688904},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.6090778112411499},{"id":"https://openalex.org/keywords/liability","display_name":"Liability","score":0.5811744928359985},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.4985363483428955},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.46280497312545776},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4456275403499603},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.42569664120674133},{"id":"https://openalex.org/keywords/sensitivity","display_name":"Sensitivity (control systems)","score":0.42309439182281494},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4083200693130493},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3369073271751404},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3290027678012848},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.32098156213760376},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.29959267377853394},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.15517157316207886},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.09753519296646118}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6708003282546997},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.6371392607688904},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.6090778112411499},{"id":"https://openalex.org/C2777834853","wikidata":"https://www.wikidata.org/wiki/Q96776939","display_name":"Liability","level":2,"score":0.5811744928359985},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.4985363483428955},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.46280497312545776},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4456275403499603},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.42569664120674133},{"id":"https://openalex.org/C21200559","wikidata":"https://www.wikidata.org/wiki/Q7451068","display_name":"Sensitivity (control systems)","level":2,"score":0.42309439182281494},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4083200693130493},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3369073271751404},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3290027678012848},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.32098156213760376},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.29959267377853394},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15517157316207886},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.09753519296646118},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C24326235","wikidata":"https://www.wikidata.org/wiki/Q126095","display_name":"Electronic engineering","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1057/s41274-017-0232-5","is_oa":false,"landing_page_url":"https://doi.org/10.1057/s41274-017-0232-5","pdf_url":null,"source":{"id":"https://openalex.org/S169988927","display_name":"Journal of the Operational Research Society","issn_l":"0160-5682","issn":["0160-5682","1476-9360"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319703","host_organization_name":"Palgrave Macmillan","host_organization_lineage":["https://openalex.org/P4310319703","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Palgrave Macmillan","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of the Operational Research Society","raw_type":"journal-article"},{"id":"pmh:oai:ira.lib.polyu.edu.hk:10397/74480","is_oa":true,"landing_page_url":"http://hdl.handle.net/10397/74480","pdf_url":"http://ira.lib.polyu.edu.hk/bitstream/10397/74480/1/Li_Mean-Field_Formulation_Multi-Period.pdf","source":{"id":"https://openalex.org/S4306400205","display_name":"PolyU Institutional Research Archive (Hong Kong Polytechnic University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I14243506","host_organization_name":"Hong Kong Polytechnic University","host_organization_lineage":["https://openalex.org/I14243506"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal/Magazine Article"},{"id":"pmh:oai:RePEc:taf:tjorxx:v:69:y:2018:i:4:p:487-499","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1057/s41274-017-0232-5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:ira.lib.polyu.edu.hk:10397/74480","is_oa":true,"landing_page_url":"http://hdl.handle.net/10397/74480","pdf_url":"http://ira.lib.polyu.edu.hk/bitstream/10397/74480/1/Li_Mean-Field_Formulation_Multi-Period.pdf","source":{"id":"https://openalex.org/S4306400205","display_name":"PolyU Institutional Research Archive (Hong Kong Polytechnic University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I14243506","host_organization_name":"Hong Kong Polytechnic University","host_organization_lineage":["https://openalex.org/I14243506"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal/Magazine Article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1121271761","display_name":null,"funder_award_id":"Program","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G1164374417","display_name":null,"funder_award_id":"1157112","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G1231421488","display_name":null,"funder_award_id":"under","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G1843038341","display_name":null,"funder_award_id":"11571124","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G19388580","display_name":null,"funder_award_id":"2016M592505","funder_id":"https://openalex.org/F4320321543","funder_display_name":"China Postdoctoral Science Foundation"},{"id":"https://openalex.org/G2082826544","display_name":null,"funder_award_id":"Postdoctoral","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G2087396116","display_name":null,"funder_award_id":"China","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G2789479628","display_name":null,"funder_award_id":"15255416","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G2953659661","display_name":null,"funder_award_id":"71201094","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3317480652","display_name":null,"funder_award_id":"Science","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G391238517","display_name":null,"funder_award_id":", and","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4251103066","display_name":null,"funder_award_id":"15224215","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G5994120800","display_name":null,"funder_award_id":"Natural","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G6806156385","display_name":null,"funder_award_id":"71272213","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7033253288","display_name":null,"funder_award_id":"Grants","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321543","display_name":"China Postdoctoral Science Foundation","ror":"https://ror.org/0426zh255"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W3036368173.pdf"},"referenced_works_count":19,"referenced_works":["https://openalex.org/W1966041856","https://openalex.org/W1983603064","https://openalex.org/W1988936876","https://openalex.org/W1993189830","https://openalex.org/W1997862169","https://openalex.org/W2002788332","https://openalex.org/W2016780148","https://openalex.org/W2016864253","https://openalex.org/W2048207845","https://openalex.org/W2054996849","https://openalex.org/W2065030872","https://openalex.org/W2132621139","https://openalex.org/W2158226696","https://openalex.org/W2168386785","https://openalex.org/W2170707681","https://openalex.org/W2332336337","https://openalex.org/W2473526392","https://openalex.org/W3121342156","https://openalex.org/W3123829977"],"related_works":["https://openalex.org/W4327779378","https://openalex.org/W4372325069","https://openalex.org/W2388859841","https://openalex.org/W2365845233","https://openalex.org/W2378176996","https://openalex.org/W1183681342","https://openalex.org/W2355340394","https://openalex.org/W2162693448","https://openalex.org/W1986130135","https://openalex.org/W4289144503"],"abstract_inverted_index":{"This":[0],"paper":[1],"is":[2],"concerned":[3],"with":[4,10],"multi-period":[5],"asset\u2013liability":[6],"mean\u2013variance":[7],"portfolio":[8],"selection":[9],"an":[11],"uncertain":[12,53],"exit":[13,54],"time.":[14],"By":[15],"employing":[16],"the":[17,30,57],"mean-field":[18],"formulation":[19],"to":[20,56],"this":[21],"problem":[22],"which":[23],"involves":[24],"two-dimensional":[25],"state":[26],"variables,":[27],"we":[28],"derive":[29],"analytical":[31],"optimal":[32,58],"strategy":[33],"and":[34,42,52],"efficient":[35],"frontier":[36],"successfully.":[37],"The":[38],"corresponding":[39],"sensitivity":[40],"analysis":[41],"a":[43],"real-life":[44],"example":[45],"shed":[46],"light":[47],"on":[48],"influences":[49],"of":[50],"liability":[51],"time":[55],"investment":[59],"strategy.":[60]},"counts_by_year":[{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}