Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (Q322987): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G30 / rank | |||
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| Property / Mathematics Subject Classification ID: 90C39 / rank | |||
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| Property / zbMATH DE Number: 6636264 / rank | |||
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stochastic interest rate | |||
| Property / zbMATH Keywords: stochastic interest rate / rank | |||
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multi-period mean-variance portfolio selection | |||
| Property / zbMATH Keywords: multi-period mean-variance portfolio selection / rank | |||
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uncontrollable liability | |||
| Property / zbMATH Keywords: uncontrollable liability / rank | |||
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dynamic programming | |||
| Property / zbMATH Keywords: dynamic programming / rank | |||
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Lagrangian duality | |||
| Property / zbMATH Keywords: Lagrangian duality / rank | |||
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Revision as of 02:21, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability |
scientific article |
Statements
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (English)
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7 October 2016
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stochastic interest rate
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multi-period mean-variance portfolio selection
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uncontrollable liability
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dynamic programming
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Lagrangian duality
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