A geometric approach to multiperiod mean variance optimization of assets and liabilities

Markus Leippold (), Fabio Trojani () and Paolo Vanini

Journal of Economic Dynamics and Control, 2004, vol. 28, issue 6, 1079-1113

Date: 2004
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Working Paper: A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:28:y:2004:i:6:p:1079-1113

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