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Optimal portfolio choice under a liability constraint

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Publication:1593559
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DOI10.1023/A:1018996712442zbMath0962.91032OpenAlexW45909027MaRDI QIDQ1593559

Włodzimierz H. Smoleński, Leszek S. Zaremba

Publication date: 17 January 2001

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1018996712442



Mathematics Subject Classification ID

Nonlinear programming (90C30)


Related Items (1)

Multiperiod mean-variance efficient portfolios with endogenous liabilities






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