Multi-period portfolio optimization for asset-liability management with bankrupt control
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Publication:387508
DOI10.1016/j.amc.2012.05.010zbMath1279.91146OpenAlexW1979575720MaRDI QIDQ387508
Publication date: 23 December 2013
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2012.05.010
dynamic programmingasset-liability managementLagrangian dualitymulti-period portfolio selectionbankrupt controlmean-variance formulation
Related Items (14)
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