Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
type: Item
instance of: scholarly article
title: Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
zbMATH Open document ID: 1346.91224
author: Haixiang Yao
author: Zhongfei Li
author: Duan Li
published in: European Journal of Operational Research
publication date: 2016-10-07T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 6636264
zbMATH Keywords: stochastic interest rate
zbMATH Keywords: multi-period mean-variance portfolio selection
zbMATH Keywords: uncontrollable liability
zbMATH Keywords: dynamic programming
zbMATH Keywords: Lagrangian duality
Wikidata QID: Q57445404
MaRDI profile type: Publication
full work available at URL: j.ejor.2016.01.049
OpenAlex ID: W2279261036
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DOI: 10.1016/J.EJOR.2016.01.049
description: scientific article; zbMATH DE number 6636264