Multi-period stochastic programming model for state-dependent asset allocation with CVaR

DOI10.15807/JORSJ.58.307MaRDI QIDQ2799655zbMATH OpenOpenAlexFDO

Authors Shinya Hirano, Norio Hibiki

Publication date 13 April 2016

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.58.307

zbMATH Keywords

investmentmulti-period asset allocationsimulationstochastic optimization

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Discrete location and assignment (90B80) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Stochastic models in economics (91B70) Statistical methods; risk measures (91G70)

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• Multi-period asset allocation by stochastic dynamic programming

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