Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Jian Pan, Qingxian Xiao
| Year of publication: |
June 2017
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|---|---|
| Authors: | Pan, Jian ; Xiao, Qingxian |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 85.2017, 3, p. 491-519
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| Subject: | Asset-liability management | Mean-variance framework | Stochastic intererst rate | Inflation risk | Efficient investment strategy | Efficient frontier | Portfolio-Management | Portfolio selection | Theorie | Theory | Inflation | Stochastischer Prozess | Stochastic process | Bilanzstrukturmanagement | Zins | Interest rate | Geldpolitik | Monetary policy |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0580-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011714519