Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
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Publication:322987
DOI10.1016/j.ejor.2016.01.049zbMath1346.91224OpenAlexW2279261036WikidataQ57445404 ScholiaQ57445404MaRDI QIDQ322987
Haixiang Yao, Li, Duan, Zhong-Fei Li
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.01.049
dynamic programmingstochastic interest rateLagrangian dualitymulti-period mean-variance portfolio selectionuncontrollable liability
Stochastic programming (90C15) Dynamic programming (90C39) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)
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