Portfolio optimization with asset-liability ratio regulation constraints

DOI10.1155/2020/1435356zbMath1435.91173OpenAlexW3012668870MaRDI QIDQ2173693

De-Lei Sheng, Peilong Shen

Publication date: 17 April 2020

Published in: Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/1435356

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
• Convex Programming and Duality in Normed Space

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