In this paper, under the assumption that all preferences are continuous and have unique top-ranked alternatives, we establish the equivalence between strict monotonicity and dictatorship for social choice correspondences.

We propose a novel approach to generating the expected returns of investor’s views. Specifically, we use the LSTM to train a classification model to forecast asset price trends. Next, according to the prediction results, we construct investor’s views in the Black-Litterman (BL) model. This...

This paper investigates a continuous-time mean–variance asset–liability management problem with endogenous liabilities in a more general market where all the assets can be risky. Different from exogenous liabilities that cannot be controlled, the endogenous liabilities can be controlled by...

This paper considers an asset–liability management problem under a multi-period mean–variance model with uncontrolled cash flow and uncertain time-horizon. The difference from the existing literature is that the liability is assumed to be influenced not only by the stochastic return of the...

This paper investigates an asset allocation problem for defined contribution pension funds with stochastic income and mortality risk under a multi-period mean–variance framework. Different from most studies in the literature where the expected utility is maximized or the risk measured by the...

This paper considers a multi-period mean–variance portfolio selection problem with uncertain time-horizon in a regime-switching market, where the conditional distribution of the time-horizon is assumed to be stochastic and depends on the market states as the returns of risky assets do....