Asset and liability management under a continuous-time mean-variance optimization framework
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Publication:860504
DOI10.1016/j.insmatheco.2006.03.006zbMath1151.91493OpenAlexW2048207845WikidataQ57445488 ScholiaQ57445488MaRDI QIDQ860504
Publication date: 9 January 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.03.006
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- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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