MULTI-PERIOD STOCHASTIC PROGRAMMING MODELS USING SIMULATED PATHS FOR STRATEGIC ASSET ALLOCATION

DOI10.15807/JORSJ.44.169MaRDI QIDQ4483539zbMATH OpenOpenAlexFDO

Authors Norio Hibiki

Publication date 2001

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15807/jorsj.44.169

zbMATH Keywords

dynamic investmentinvestment decisionsLinear programming

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Stochastic programming (90C15)

Recommendations

• Multi-period asset allocation by stochastic dynamic programming
• Multi-period stochastic programming model for state-dependent asset allocation with CVaR
• A stochastic programming approach for multi-period portfolio optimization
• The performance of stochastic dynamic and fixed mix portfolio models
• A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation

Cited in

(8)

• A sample-path approach to optimal position liquidation
• Multi-period stochastic programming model for state-dependent asset allocation with CVaR
• An empirical analysis of dynamic asset allocation performance in Chinese stock market
• scientific article; zbMATH DE number 1304948 (Why is no real title available?)
• scientific article; zbMATH DE number 2065133 (Why is no real title available?)
• COMPACT REPRESENTATIONS OF MULTI-PERIOD STOCHASTIC PROGRAM USING SIMULATED PATH MODEL(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation
• Multi-period asset allocation by stochastic dynamic programming

This page was built for publication: MULTI-PERIOD STOCHASTIC PROGRAMMING MODELS USING SIMULATED PATHS FOR STRATEGIC ASSET ALLOCATION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4483539)