排序方式： 共有6条查询结果，搜索用时 15 毫秒
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P. Schönfeld H. Schleicher Adelinde Mahr T. Seitz P. Heintel F. A. Westphalen S. Frauendorfer T. Scharf K. Förster W. Wittmann F. V. Meyer F. Ferschl Th. Dobner J. Messner 《Journal of Economics》1967,27(3):382-404
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K. Rose H. Zimmermann A. Nußbaumer H. Arndt P. Meihsl N. Burger F. Redl S. Frauendorfer R. Jochimsen G. Marktl W. Schmitz K. Socher M. Scheithauer St. Wirlandner G. Hedtkamp W. Taucher H. Aufricht F. Lettner F. Klezl H. Krasensky E. Melichar 《Journal of Economics》1959,18(4):474-524
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This paper shows how a mean variance criterion can be applied to a multi period setting in order to obtain efficient portfolios in an asset and liability context. The optimization model allows for rebalancing activities, transaction costs, stochastic volatilities for both assets and liabilities. Furthermore, a general framework for the projection of pension fund liabilities as well as for the generation of asset returns is given. In a further step the dynamics of the liability maturity structure is modeled as customized index, whose volatility and correlation with asset returns become integral components of the applied regime switching approach. The numerical results illustrate the diversification of the assets and its risk return pattern in dependency of the liability dynamics. 相似文献
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E. Streissler F. Redl K. W. Rothschild J. H. Richter W. Ehrlicher G. Marktl S. Frauendorfer H. Krasensky F. V. Meyer F. Klezl L. Mayer F. Friedensburg 《Journal of Economics》1958,18(3):358-376
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P. Meihsl W. Winkler W. Taucher K. W. Rothschild R. Richter Mario de Luca M. Kröll W. Weber O. Weinberger H. Bayer F. Klezl H. Schoeller S. Frauendorfer C. Zimmerer A. Gratz G. Marktl K. H. Werner R. Kerschagl G. Henrich G. Schmölders R. Jochimsen J. W. Kleindienst Th. Pütz A. Klamecker W. Bickel K. F. A. Hajek E. Ch. Mosing L. Scheidl G. Scholz A. Montaner 《Journal of Economics》1956,16(1-2):237-300
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