Multiperiod mean-variance efficient portfolios with endogenous liabilities

DOI10.1080/14697680902950813zbMath1258.91199MaRDI QIDQ4911228

Fabio Trojani, Markus Leippold, Paolo Vanini

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902950813

zbMATH Keywords

risk management; strategic allocation; control and optimization; asset liability modelling; calculus in finance

Mathematics Subject Classification ID

91G50: Corporate finance (dividends, real options, etc.)

91G10: Portfolio theory

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