Abstract
Abstract One of the fundamental questions in finance is how to select an investment portfolio? The most popular model is the Mean-Variance (MV) model that was presented by Markowitz in 1952. In the MV model, the optimization problem is a constrained quadratic functional. An optimal portfolio selection for asset-liability management problem (ALM) can be obtained by transferring the the ALM problem into the classical MV optimization problem, see Panjer et al. (2001). In this paper we show a technique to transfer the ALM problem into a standard investment portfolio problem in some other models.
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