Mean-variance Portfolio Selection and Asset-liability Management with the Wishart Process

Project: Research project

Project Details


This is a RGC funded project through the early career scheme (ECS) with an amount of HK$815,040. This project investigates portfolio selection and asset-laibility management problems in finance when the stochastic variance-covariance matrix follows the Wishart process.

Funding Source: RGC - Early Career Scheme (ECS)
Effective start/end date01/08/1331/01/17


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