A geometric approach to multiperiod mean variance optimization of assets and liabilities

Journal of Economic Dynamics and Control

Volumn 28, Issue 6, 2004, Pages 1079-1113

  Leippold, Markus ^a   Trojani, Fabio ^b   Vanini, Paolo ^b  

^a UNIVERSITY OF ZURICH   (Switzerland)

^b Neurocenter of Southern Switzerland and Department of Neurology   (Switzerland)

Author keywords

Assets and liabilities portfolios; Dynamic programming; Markowitz model; Minimum variance frontiers

Indexed keywords

EID: 0242720235     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(03)00067-8     Document Type: Article

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