Dynamic mean-variance portfolio selection with liability and stochastic interest rate
Hao Chang (School of Science, Tianjin Polytechnic University, Tianjin, China, College of Management and Economics, Tianjin, China)
| Year of publication: |
December 2015
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|---|---|
| Authors: | Chang, Hao |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 51.2015, p. 172-182
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| Subject: | Asset and liability management | The Vasicek model | Mean-variance criterion | The efficient frontier | Lagrange duality theorem | Portfolio-Management | Portfolio selection | Theorie | Theory | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.07.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011475878