Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6895656 | European Journal of Operational Research | 2016 | 33 Pages |
Abstract
While the literature on dynamic portfolio selection with stochastic interest rates only confines its investigation to the continuous-time setting up to now, this paper studies a multi-period mean-variance portfolio selection problem with a stochastic interest rate, where the movement of the interest rate is governed by the discrete-time Vasicek model. Invoking dynamic programming approach and the Lagrange duality theory, we derive the analytical expressions for both the efficient investment strategy and the efficient mean-variance frontier of the model formulation. We then extend our model to the situation with an uncontrollable liability.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Haixiang Yao, Zhongfei Li, Duan Li,