Publication: Multiperiod mean-variance efficient portfolios with endogenous liabilities
Multiperiod mean-variance efficient portfolios with endogenous liabilities
Date
Date
Date
Citations
Leippold, M., Trojani, F., & Vanini, P. (2011). Multiperiod mean-variance efficient portfolios with endogenous liabilities. Quantitative Finance, 11(10), 1535–1546. https://doi.org/10.1080/14697680902950813
Abstract
Abstract
Abstract
We study the optimal policies and mean-variance frontiers (MVF) of a multiperiod mean-variance optimization of assets and liabilities (AL). This makes the analysis more challenging than for a setting based on purely exogenous liabilities, in which the optimization is only performed on the assets while keeping liabilities fixed. We show that, under general conditions for the joint AL dynamics, the optimal policies and the MVF can be decomposed into an orthogonal set of basis returns using exterior algebra. This formalism, novel to fina
Metrics
Downloads
Views
Additional indexing
Creators (Authors)
- Trojani, Fabio
- Vanini, Paolo
Volume
Volume
Volume
Number
Number
Number
Page range/Item number
Page range/Item number
Page range/Item number
Page end
Page end
Page end
Item Type
Item Type
Item Type
In collections
Scope
Scope
Scope
Language
Language
Language
Publication date
Publication date
Publication date
Date available
Date available
Date available
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
OA Status
OA Status
OA Status
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
Metrics
Downloads
Views
Citations
Leippold, M., Trojani, F., & Vanini, P. (2011). Multiperiod mean-variance efficient portfolios with endogenous liabilities. Quantitative Finance, 11(10), 1535–1546. https://doi.org/10.1080/14697680902950813
