The optimal asset and liability portfolio for a financial institution with multiple lines of businesses
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Publication:362038
DOI10.1007/s13385-013-0067-7zbMath1288.91182OpenAlexW2000491757MaRDI QIDQ362038
Publication date: 20 August 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-013-0067-7
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Related Items (3)
Optimal capital allocation for individual risk model using a mean-variance principle ⋮ Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework ⋮ Optimal capital allocation in a hierarchical corporate structure
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