The performance of stochastic dynamic and fixed mix portfolio models
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Publication:1600971
DOI10.1016/S0377-2217(01)00195-3zbMATH Open1030.90044OpenAlexW2062049475MaRDI QIDQ1600971FDOQ1600971
Authors: Stein-Erik Fleten, Kjetil Høyland, Stein W. Wallace 
Publication date: 16 June 2002
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0377-2217(01)00195-3
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Cited In (31)
- Integrated Stochastic Optimal Self-Scheduling for Two-Settlement Electricity Markets
- A stochastic programming model for asset liability management of a Finnish pension company
- Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
- A polynomial optimization approach to constant rebalanced portfolio selection
- Hydro energy management optimization in a deregulated electricity market
- Solving multistage asset investment problems by the sample average approximation method
- DC pension fund benchmarking with fixed-mix portfolio optimization
- Massively parallel processing of recursive multi-period portfolio models
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
- Asset and liability risk management in financial markets
- Constant rebalanced portfolio optimization under nonlinear transaction costs
- Capital distribution and portfolio performance in the mean-field Atlas model
- An omega portfolio model with dynamic return thresholds
- An empirical analysis of dynamic asset allocation performance in Chinese stock market
- Risk aversion and CO\(_{2}\) regulatory uncertainty in power generation investment: policy and modeling implications
- MULTI-PERIOD STOCHASTIC PROGRAMMING MODELS USING SIMULATED PATHS FOR STRATEGIC ASSET ALLOCATION
- Performance of Brownian-motion-generated universal portfolios
- On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty
- Empirical research on dynamic portfolio and performance evaluation with multi-constraints
- Portfolio performance of linear SDF models: an out-of-sample assessment
- Applications of stochastic programming: Achievements and questions
- A study on modeling the dynamics of statistically dependent returns
- Horizon and stages in applications of stochastic programming in finance
- Is certainty in carbon policy better than uncertainty?
- A Stochastic Convergence Model for Portfolio Selection
- The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems
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- A multistage stochastic programming framework for cardinality constrained portfolio optimization
- Dynamic asset allocation for varied financial markets under regime switching framework
- Decision model and analysis for investment interest expense deduction and allocation
- Bound-based decision rules in multistage stochastic programming
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