A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities

DOI10.1007/s10589-005-2055-6zbMath1085.90055MaRDI QIDQ2574060

Walter Murray, Aparna Gupta

Publication date: 16 November 2005

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-005-2055-6

zbMATH Keywords

nonlinear optimization; nonconvexity; optimal investments; behavioral preferences; retirement assets

Mathematics Subject Classification ID

90C30: Nonlinear programming

Related Items

Dynamic programming with Hermite approximation, Simulation-based parametric optimization for long-term asset allocation using behavioral utilities

Uses Software

• ADIFOR
• SNOPT

Cites Work

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