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

Article, Preprint English OPEN
Markus LEIPPOLD; Fabio TROJANI; Paolo VANINI;
(2005)
  • Subject: Assets and Liabilities Portfolios; Minimum-Variance Frontiers; Dynamic Programming; Markowitz Model
    • jel: jel:G12 | jel:G11 | jel:C61 | jel:G28 | jel:D92 | jel:C60

We present a geometric approach to discrete time multiperiod mean variance portfolio optimization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be dec... View more
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