Life-cycle asset allocation and consumption using stochastic linear programming

DOI10.21314/JCF.2009.203zbMATH Open1184.91207MaRDI QIDQ3404356FDOQ3404356

Authors: Alois Geyer, Michael Hanke, Alex Weissensteiner 

Publication date: 8 February 2010

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

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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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