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Giamouridis et al., 2017 - Google Patents

Dynamic asset allocation with liabilities

Giamouridis et al., 2017

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Document ID
8726356771144420343
Author
Giamouridis D
Sakkas A
Tessaromatis N
Publication year
Publication venue
European Financial Management

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Snippet

We develop an analytical solution to the dynamic multi‐period portfolio choice problem of an investor with risky liabilities and time varying investment opportunities. We use the model to compare the asset allocation of investors who take liabilities into account, assuming time …
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