Dynamic mean-variance portfolio selection with exogenous liability and borrowing constraint

被引：0

作者：

Chen, Bin ^{[1
]}

Ma, Hui-Qiang ^{[1
]}

Huang, Nan-Jing ^{[1
]}

机构：

[1] Department of Mathematics, Sichuan University, Chengdu, 610064, China

来源：

Chinese Control Conference, CCC | 2013年

关键词：

Asset and liability management - Efficient frontier - Hamilton-Jacobi-Bellman equations - HJB equations - Lagrangian duality - Mean variance model - Mean-variance portfolios - Optimal portfolio strategy;

D O I：

32nd Chinese Control Conference, CCC 2013

中图分类号：

学科分类号：

摘要：

引用

页码：8315 / 8320

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