Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach

DOI10.1016/J.EJOR.2004.01.012zbMATH Open1067.90129OpenAlexW2048802982MaRDI QIDQ704083FDOQ704083

Authors Diana Barro, Elio Canestrelli

Publication date 12 January 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2004.01.012

zbMATH Keywords

maximum principlescenariosstochastic programmingdynamic portfolioprogressive hedging algorithm

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

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Cited in

(7)

• A combined stochastic programming and optimal control approach to personal finance and pensions
• Tracking error: a multistage portfolio model
• A progressive hedging approach for surgery planning under uncertainty
• Operational optimization for microgrid of buildings with distributed solar power and battery
• Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
• Should you stop investing in a sinking fund when it is sinking?

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