Marco Papi, Simone Sbaraglia. Optimal asset-liability management with constraints: A dynamic programming approach. Applied Mathematics and Computation, 173(1):306-349, 2006. [doi]
@article{PapiS06,
title = {Optimal asset-liability management with constraints: A dynamic programming approach},
author = {Marco Papi and Simone Sbaraglia},
year = {2006},
doi = {10.1016/j.amc.2005.04.078},
url = {http://dx.doi.org/10.1016/j.amc.2005.04.078},
tags = {constraints, programming, systematic-approach},
researchr = {https://researchr.org/publication/PapiS06},
cites = {0},
citedby = {0},
journal = {Applied Mathematics and Computation},
volume = {173},
number = {1},
pages = {306-349},
}