A generalized least square formulation for multi-period optimization of asset allocation
碩士 === 國立政治大學 === 風險管理與保險研究所 === 94 === This paper deals with the insurance and pension asset liability management issue. Huang (2004) derives a theoretical close solution of multi-period asset allocation. However, there are two further problems in his paper. First, short selling is allowable. Secon...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68934980600308859989 |