Multiperiod Financial Planning

DOI10.1287/MNSC.33.7.848MaRDI QIDQ3030534zbMATH OpenOpenAlexFDO

Authors David P. Brown

Publication date 1987

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.33.7.848

zbMATH Keywords

asset allocationoptimal portfoliofinancial planningoptimal savings allocations

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Dynamic programming (90C39)

Recommendations

• Multi-period asset allocation by stochastic dynamic programming
• Optimal consumption and investment under time-varying relative risk aversion
• Optimal consumption-portfolio choices and retirement planning
• scientific article; zbMATH DE number 6296768
• Risk sensitive asset allocation

Cited in

(7)

• Financial planning with fractional goals
• Life-cycle asset allocation and consumption using stochastic linear programming
• Optimal portfolio choices using financial leverage
• Utility functions based on net present worth
• A two-stage approach to multi-period allocation of savings among investment plans
• Simple explicit formula for near-optimal stochastic lifestyling
• Decision model and analysis for investment interest expense deduction and allocation

This page was built for publication: Multiperiod Financial Planning

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3030534)