A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
Year of publication: |
2003-02-26
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Authors: | Vanini, Paolo ; Leippold, Markus ; Trojani, Fabio |
Institutions: | Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern> |
Subject: | Bilanzstrukturmanagement | Geometrische Approximation |
Extent: | 48 p. application/pdf |
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Series: | Working Paper ; No. 53 (2003) |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C60 - Mathematical Methods and Programming. General ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G28 - Government Policy and Regulation ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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