Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Haixiang Yao, Zhongfei Li, Duan Li
| Year of publication: |
1 August 2016
|
|---|---|
| Authors: | Yao, Haixiang ; Li, Zhongfei ; Li, Duan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 252.2016, 3 (1.8.), p. 837-851
|
| Subject: | Stochastic interest rate | Multi-period mean-variance portfolio selection | Uncontrollable liability | Dynamic programming | Lagrangian duality | Portfolio-Management | Portfolio selection | Theorie | Theory | Zins | Interest rate | Dynamische Optimierung | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.01.049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011472346