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ArticleOptimal portfolio choice under a liability constraint

Leszek Zaremba2000

Article2000

Optimal portfolio choice under a liability constraint

Leszek Zaremba · W. Smoleński

82 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Financial Analysis and Corporate Governance Stochastic processes and financial applications

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References

1982Modern Portfolio Theory and Investment Analysis.1952Review of the Principles of Life-office Valuations 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies 1988Immunizing Default-Free Bond Portfolios with a Duration Vector 1988Duration measures for specific term structure estimations and applications to bond portfolio immunization

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Year2000

Typearticle

Published2000-12-01

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations82

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1023/a:1018996712442

openalex_workW45909027

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