Multi-Period Mean-Variance Portfolio Selection With Uncertain Time-Horizon And Liabilities

As we know, the development of financial market can’t be separatedby investment decisions. Especially nowadays financial globalization isfaster and faster, the size of the market is booming, there are more andmore investment opportunities. There will be a problem of how to manageassets and formulate effective Investment decisions for the assets, theproblem become a very important issue in the theorists and practitioners.Management theory of dynamic portfolio offer investment practices thetheoretical basis and methods. In view of this, this article main researchmulti-period dynamic investment decisions problem. The main results areas follows:(1) Summary and systematic analysis the main methods and results ofmulti-period dynamic mean–variance investment decisions.(2) Summaryand systematic analysis the main methods and results of multi-periodmean-variance portfolio selection with uncertain time-horizon.(3)Consider the condition of assets and liabilities in the multi-periodmean-variance optimal portfolio selection, analysis the results.(4)Research multi-period mean–variance optimal portfolio selection withuncertain time-horizon and assets and liabilities, derive closed-form of theoptimal strategy.