Matches in SemOpenAlex for { <https://semopenalex.org/work/W2279261036> ?p ?o ?g. }
- W2279261036 endingPage "851" @default.
- W2279261036 startingPage "837" @default.
- W2279261036 abstract "Abstract While the literature on dynamic portfolio selection with stochastic interest rates only confines its investigation to the continuous-time setting up to now, this paper studies a multi-period mean-variance portfolio selection problem with a stochastic interest rate, where the movement of the interest rate is governed by the discrete-time Vasicek model. Invoking dynamic programming approach and the Lagrange duality theory, we derive the analytical expressions for both the efficient investment strategy and the efficient mean-variance frontier of the model formulation. We then extend our model to the situation with an uncontrollable liability." @default.
- W2279261036 created "2016-06-24" @default.
- W2279261036 creator A5027224656 @default.
- W2279261036 creator A5071703782 @default.
- W2279261036 creator A5091153503 @default.
- W2279261036 date "2016-08-01" @default.
- W2279261036 modified "2023-10-03" @default.
- W2279261036 title "Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability" @default.
- W2279261036 cites W1604073885 @default.
- W2279261036 cites W1970647774 @default.
- W2279261036 cites W1978521713 @default.
- W2279261036 cites W1979575720 @default.
- W2279261036 cites W1988324927 @default.
- W2279261036 cites W1988936876 @default.
- W2279261036 cites W1993189830 @default.
- W2279261036 cites W2002788332 @default.
- W2279261036 cites W2016864253 @default.
- W2279261036 cites W2039602140 @default.
- W2279261036 cites W2061037338 @default.
- W2279261036 cites W2065030872 @default.
- W2279261036 cites W2065890367 @default.
- W2279261036 cites W2076057077 @default.
- W2279261036 cites W2083440647 @default.
- W2279261036 cites W2083541493 @default.
- W2279261036 cites W2092010581 @default.
- W2279261036 cites W2122795893 @default.
- W2279261036 cites W2132621139 @default.
- W2279261036 cites W2150319568 @default.
- W2279261036 cites W2332336337 @default.
- W2279261036 cites W3121342156 @default.
- W2279261036 cites W3123829977 @default.
- W2279261036 cites W3124574885 @default.
- W2279261036 cites W3125713589 @default.
- W2279261036 cites W4235725215 @default.
- W2279261036 doi "https://doi.org/10.1016/j.ejor.2016.01.049" @default.
- W2279261036 hasPublicationYear "2016" @default.
- W2279261036 type Work @default.
- W2279261036 sameAs 2279261036 @default.
- W2279261036 citedByCount "39" @default.
- W2279261036 countsByYear W22792610362016 @default.
- W2279261036 countsByYear W22792610362017 @default.
- W2279261036 countsByYear W22792610362018 @default.
- W2279261036 countsByYear W22792610362019 @default.
- W2279261036 countsByYear W22792610362020 @default.
- W2279261036 countsByYear W22792610362021 @default.
- W2279261036 countsByYear W22792610362022 @default.
- W2279261036 countsByYear W22792610362023 @default.
- W2279261036 crossrefType "journal-article" @default.
- W2279261036 hasAuthorship W2279261036A5027224656 @default.
- W2279261036 hasAuthorship W2279261036A5071703782 @default.
- W2279261036 hasAuthorship W2279261036A5091153503 @default.
- W2279261036 hasConcept C10138342 @default.
- W2279261036 hasConcept C106159729 @default.
- W2279261036 hasConcept C107038049 @default.
- W2279261036 hasConcept C121955636 @default.
- W2279261036 hasConcept C138885662 @default.
- W2279261036 hasConcept C149782125 @default.
- W2279261036 hasConcept C154945302 @default.
- W2279261036 hasConcept C162118730 @default.
- W2279261036 hasConcept C162324750 @default.
- W2279261036 hasConcept C196083921 @default.
- W2279261036 hasConcept C2777834853 @default.
- W2279261036 hasConcept C2780821815 @default.
- W2279261036 hasConcept C2781291010 @default.
- W2279261036 hasConcept C33923547 @default.
- W2279261036 hasConcept C41008148 @default.
- W2279261036 hasConcept C81917197 @default.
- W2279261036 hasConceptScore W2279261036C10138342 @default.
- W2279261036 hasConceptScore W2279261036C106159729 @default.
- W2279261036 hasConceptScore W2279261036C107038049 @default.
- W2279261036 hasConceptScore W2279261036C121955636 @default.
- W2279261036 hasConceptScore W2279261036C138885662 @default.
- W2279261036 hasConceptScore W2279261036C149782125 @default.
- W2279261036 hasConceptScore W2279261036C154945302 @default.
- W2279261036 hasConceptScore W2279261036C162118730 @default.
- W2279261036 hasConceptScore W2279261036C162324750 @default.
- W2279261036 hasConceptScore W2279261036C196083921 @default.
- W2279261036 hasConceptScore W2279261036C2777834853 @default.
- W2279261036 hasConceptScore W2279261036C2780821815 @default.
- W2279261036 hasConceptScore W2279261036C2781291010 @default.
- W2279261036 hasConceptScore W2279261036C33923547 @default.
- W2279261036 hasConceptScore W2279261036C41008148 @default.
- W2279261036 hasConceptScore W2279261036C81917197 @default.
- W2279261036 hasIssue "3" @default.
- W2279261036 hasLocation W22792610361 @default.
- W2279261036 hasOpenAccess W2279261036 @default.
- W2279261036 hasPrimaryLocation W22792610361 @default.
- W2279261036 hasRelatedWork W1986328561 @default.
- W2279261036 hasRelatedWork W1987734564 @default.
- W2279261036 hasRelatedWork W2013095020 @default.
- W2279261036 hasRelatedWork W2053217038 @default.
- W2279261036 hasRelatedWork W2156661889 @default.
- W2279261036 hasRelatedWork W2328353519 @default.
- W2279261036 hasRelatedWork W2382934608 @default.
- W2279261036 hasRelatedWork W2924762149 @default.
- W2279261036 hasRelatedWork W2983857503 @default.
- W2279261036 hasRelatedWork W3121791330 @default.
- W2279261036 hasVolume "252" @default.