Asset-liability management under time-varying investment opportunities
Ferstl, Robert and Weissensteiner, Alex (2011) Asset-liability management under time-varying investment opportunities. Journal of Banking & Finance 35 (1), pp. 182-192.Date of publication of this fulltext: 21 Jul 2010 11:18
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| Item type | Article | ||||||
| Journal or Publication Title | Journal of Banking & Finance | ||||||
| Publisher: | Elsevier | ||||||
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| Volume: | 35 | ||||||
| Number of Issue or Book Chapter: | 1 | ||||||
| Page Range: | pp. 182-192 | ||||||
| Date | January 2011 | ||||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||||
| Interdisciplinary Subject Network | Immobilien- und Kapitalmärkte | ||||||
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| Keywords | Asset-liability management; Predictability; Stochastic programming; Scenario generation; VAR process | ||||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||||
| Status | Published | ||||||
| Refereed | Yes, this version has been refereed | ||||||
| Created at the University of Regensburg | Yes | ||||||
| Item ID | 15979 |
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