A geometric approach to multiperiod mean variance optimization of assets and liabilities
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Publication:951516
DOI10.1016/S0165-1889(03)00067-8zbMath1179.91234MaRDI QIDQ951516
Markus Leippold, Paolo Vanini, Fabio Trojani
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)
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