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
收藏
页码：8315 / 8320
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