Multi-period asset-liability management with cash flows and probability constraints : a mean-field formulation approach
Xun Li, Xianping Wu and Haixiang Yao
| Year of publication: |
2020
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|---|---|
| Authors: | Li, Xun ; Wu, Xianping ; Yao, Haixiang |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 71.2020, 10, p. 1563-1580
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| Subject: | asset-liability management | cash flow | Mean-field formulation | multi-period mean-variance model | probability constraints | Theorie | Theory | Cash Flow | Cash flow | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2019.1610207 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012314367