Optimal asset allocation with fixed-term securities
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Publication:1656778
DOI10.1016/j.jedc.2016.03.001zbMath1401.91515OpenAlexW3124997048MaRDI QIDQ1656778
Frank Thomas Seifried, Sascha Desmettre
Publication date: 10 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2016.03.001
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Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation, Dynamic surplus optimization with performance- and index-linked liabilities, Portfolio choice with illiquid asset for a loss-averse pension fund investor
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