Multiperiod mean-variance efficient portfolios with endogenous liabilities
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Publication:4911228
DOI10.1080/14697680902950813zbMATH Open1258.91199OpenAlexW2122795893MaRDI QIDQ4911228FDOQ4911228
Authors: Markus Leippold, Fabio Trojani, Paolo Vanini 
Publication date: 14 March 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680902950813
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Cites Work
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Dynamic stochastic programming for asset-liability management
- Short Term Financial Planning under Uncertainty
- Variance-Optimal Hedging in Discrete Time
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Mean-variance hedging in continuous time
- Dynamic asset allocation in a mean-variance framework
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- A stochastic programming model for asset liability management of a Finnish pension company
- Linking strategic and tactical planning systems for asset and liability management
- Optimal portfolio choice under a liability constraint
- The AURORA financial management system: Model and parallel implementation design
Cited In (11)
- Portfolio selection with liability and affine interest rate in the HARA utility framework
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Continuous-time mean-variance asset-liability management with endogenous liabilities
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Dynamic asset-liability management in a Markov market with stochastic cash flows
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