Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
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Publication:2407990
DOI10.1007/s00186-017-0580-6zbMath1411.91524OpenAlexW2591653435MaRDI QIDQ2407990
Publication date: 9 October 2017
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-017-0580-6
asset-liability managementstochastic interest rateefficient frontierinflation riskmean-variance frameworkefficient investment strategy
Dynamic programming (90C39) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)
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