Multi-period portfolio optimization for asset-liability management with bankrupt control

摘要

In this paper, we investigate a multi-period portfolio optimization problem for asset-liability management of an investor who intends to control the probability of bankruptcy before reaching the end of an investment horizon. We formulate the problem as a generalized mean-variance model that incorporates bankrupt control over intermediate periods. Based on the Lagrangian multiplier method, the embedding technique, the dynamic programming approach and the Lagrangian duality theory, we propose a method to solve the model. A numerical example is given to demonstrate our method and show the impact of bankrupt control and market parameters on the optimal portfolio strategy.