Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem.
Xiangyu CuiXun LiLanzhi YangPublished in: Oper. Res. Lett. (2020)
Keyphrases
- multi period
- asset liability management
- planning horizon
- expected cost
- portfolio selection
- data envelopment analysis
- asymptotically optimal
- production planning
- optimal solution
- facility location problem
- dynamic programming
- investment strategies
- routing problem
- lot size
- finite horizon
- optimal control
- long run
- lot sizing
- supply chain
- holding cost
- stochastic programming
- cost function