Portfolio Optimization with Asset-Liability Ratio Regulation Constraints
This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment leverage), and to mitigate risks of low assets’...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2020/1435356 |
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