A geometric approach to multiperiod mean variance optimization of assets and liabilities (Q951516)
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scientific article; zbMATH DE number 5356938
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A geometric approach to multiperiod mean variance optimization of assets and liabilities |
scientific article; zbMATH DE number 5356938 |
Statements
A geometric approach to multiperiod mean variance optimization of assets and liabilities (English)
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24 October 2008
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assets and liabilities portfolios
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minimum-variance frontiers
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dynamic programming
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Markowitz model
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0.8986587
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0.88313454
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0.87794137
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0.8669368
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0.8663477
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0.8656881
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0.8645906
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0.8640507
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0.8620065
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