Dynamic portfolio selection for asset-liability management.
Mean-variance criterion in optimization AL problem aims at maximizing the final surplus; asset value minus liability value, subject to a given variance of the final surplus or, equivalently, minimizing the variance of the final surplus subject to a given expected final surplus. The stochastic optima...
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| Format: | Others |
| Language: | English Chinese |
| Published: |
2007
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| Online Access: | http://library.cuhk.edu.hk/record=b6074430 http://repository.lib.cuhk.edu.hk/en/item/cuhk-344063 |