A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time

Lan Yi, Xianping Wu, Xun Li, Xiangyu Cui. A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time. Oper. Res. Lett., 42(8):489-494, 2014. [doi]

Abstract

Abstract is missing.