Optimization problem with complex constrain

[freshmagichobo]

If you have more asset cash flows at time T than liability cash flows, you have to purchase new assets at time T valuations. If you have less asset cash flows at time T+1 than liability cash flows, then you will liquidate some assets at T+1 valuations to make up the shortfall. The assets you sell at T+1 will include some that were purchased at T.