Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time-horizon

Haixiang Yao; Yan Zeng; Shumin Chen

Year of publication:	2013
Authors:	Yao, Haixiang ; Zeng, Yan ; Chen, Shumin
Published in:	Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 30.2013, p. 492-500
Subject:	Dynamic programming \| Multi-period mean-variance model \| Efficient frontier \| Uncontrolled cash flow \| Uncertain time-horizon \| Cash Flow \| Cash flow \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Dynamische Optimierung \| Risiko \| Risk \| Mathematische Optimierung \| Mathematical programming

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