Multi-period portfolio optimization for asset-liability management with bankrupt control (Q387508)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-period portfolio optimization for asset-liability management with bankrupt control |
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Multi-period portfolio optimization for asset-liability management with bankrupt control (English)
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23 December 2013
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asset-liability management
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multi-period portfolio selection
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mean-variance formulation
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bankrupt control
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dynamic programming
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Lagrangian duality
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