Asset-liability management for pension funds in a time-varying volatility environment
Spyridon D. Vrontos; Ioannis D. Vrontos; Loukia Meligkotsidou
| Year of publication: |
2013
|
|---|---|
| Authors: | Vrontos, Spyridon D. ; Vrontos, Ioannis D. ; Meligkotsidou, Loukia |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 14.2013, 5, p. 306-333
|
| Subject: | assat-liability management | latent factor models | multivariate GARCH models | portfolio optimization | Portfolio-Management | Portfolio selection | Volatilität | Volatility | ARCH-Modell | ARCH model | Pensionskasse | Pension fund | Theorie | Theory | Bilanzstrukturmanagement | Asset-liability management | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010237937