We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. Our first finding is the proof of a conjecture of Li and Ng (cf. [LN00]), Leippold, Trojani and Vanini (cf. [LTV04], [LTV03]) about the equivalence of the...

We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. Our first finding is the proof of a conjecture of Li and Ng (2000), Leippold, Trojani and Vanini (2004, 2003) about the equivalence of the original...

We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. We first prove a conjecture of Li and Ng (2000), Leippold et al. (2004, 2003) about the equivalence of the original non-separable mean-variance problem and its...