Multi-period portfolio selection for asset-liability management with uncertain investment horizon
type: Item
instance of: scholarly article
title: Multi-period portfolio selection for asset-liability management with uncertain investment horizon
zbMATH Open document ID: 1160.90544
author: Lan Yi
author: Zhongfei Li
author: Duan Li
published in: Journal of Industrial and Management Optimization
publication date: 2009-05-26T00:00:00Z
Mathematics Subject Classification ID: 90B50
Mathematics Subject Classification ID: 90C26
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 49N15
zbMATH DE Number: 5557080
zbMATH Keywords: uncertain investment horizon
zbMATH Keywords: asset-liability(AL) management
zbMATH Keywords: multi-period mean-variance formulation
zbMATH Keywords: dynamic programming
zbMATH Keywords: optimal investment strategy
MaRDI profile type: Publication
full work available at URL: jimo.2008.4.535
OpenAlex ID: W2332336337
Wikidata QID: Q57445475
DOI: 10.3934/JIMO.2008.4.535
description: scientific article; zbMATH DE number 5557080