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A geometric approach to multiperiod mean variance optimization of assets and liabilities

Leippold, Markus ; Trojani, Fabio ; Vanini, Paolo

We present a geometric approach to discrete time multiperiod mean variance portfolio optimization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decomposed in an orthogonal set of basis strategies, each having a clear economic interpretation. This implies that the...