Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time

Abstract The asset-liability management problem with cash flow under an uncertain exit time has been investigated in this article, which is based on the fundamental framework of mean-variance model multi-period version. liability and random will affect asset optimization, while investor may be forced to withdraw from investments a probability at each period our model. closed-form expressions for optimal portfolio selection its corresponding efficient frontier are obtained by employing mean-field formulation dynamic programming approach. Moreover, some numerical examples provided illustrate validity accuracy theoretical results.