Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability

Published 2016 View Full Article

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Title
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Authors
Keywords
Stochastic interest rate, Multi-period mean-variance portfolio selection, Uncontrollable liability, Dynamic programming, Lagrangian duality
Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 252, Issue 3, Pages 837-851
Publisher
Elsevier BV
Online
2016-02-02
DOI
10.1016/j.ejor.2016.01.049

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