Life-cycle asset allocation and consumption using stochastic linear programming

DOI10.21314/JCF.2009.203MaRDI QIDQ3404356zbMATH OpenFDO

Authors Alois Geyer, Michael Hanke, Alex Weissensteiner

Publication date 8 February 2010

Published in The Journal of Computational Finance (Search for Journal in Brave)

zbMATH Keywords

consumptiondiscrete scenario treesstochastic linear programming (SLP)

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10) Stochastic programming (90C15) Corporate finance (dividends, real options, etc.) (91G50)

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