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

    Project: Research project

    Project Details

    Description

    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.
    StatusFinished
    Effective start/end date01/08/1331/01/17