Asset-Liability Management Under the Safety-First Principle

Author:

Chiu M. C.,Li D.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Reference27 articles.

1. Roy, A.D.: Safety first and the holding assets. Econometrica 20, 431–449 (1952)

2. Jorion, P.: Value at Risk: The New Benchmark for Controlling Derivatives Risk. McGraw-Hill, New York (1997)

3. Markowitz, H.M.: Portfolio Selection: Efficient Diversification of Investment. Wiley, New York (1959)

4. Markowitz, H.M.: Mean-Variance Analysis in Portfolio Choice and Capital Markets. Blackwell, Cambridge (1989)

5. Markowitz, H.M.: The optimization of a quadratic function subject to linear constraints. Nav. Res. Logist. Q. 3, 111–133 (1956)

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