Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Jian Pan, Qingxian Xiao
Year of publication: |
June 2017
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Authors: | Pan, Jian ; Xiao, Qingxian |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 85.2017, 3, p. 491-519
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Subject: | Asset-liability management | Mean-variance framework | Stochastic intererst rate | Inflation risk | Efficient investment strategy | Efficient frontier | Theorie | Theory | Portfolio-Management | Portfolio selection | Inflation | Geldpolitik | Monetary policy | Stochastischer Prozess | Stochastic process |
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