Robust stock and bond allocation with end-of-horizon effects

DOI10.1051/RO/2017066MaRDI QIDQ5380956zbMATH OpenOpenAlexFDO

Authors Michael Dziecichowicz, Aurélie Thiele

Publication date 7 June 2019

Published in RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/ro/2017066

zbMATH Keywords

decision-making under uncertaintystock-bond allocation mixtarget-date funds

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Discrete location and assignment (90B80)

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Cited in

(3)

• Robust investment management with uncertainty in fund managers' asset allocation
• Dynamic asset allocation for target date funds under the benchmark approach
• ESG portfolio for TDFs with time-varying higher moments and cardinality constraint

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