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

Recommendations

• Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
• Portfolio replication: its forward-dual decomposition
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• An algorithm for portfolio optimization with variable transaction costs. I: Theory
• Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs

zbMATH Keywords

maximum principlescenariosstochastic programmingdynamic portfolioprogressive hedging algorithm

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Applications of Stochastic Programming
• Title not available (Why is that?)
• Introduction to Stochastic Programming
• Mean Value Methods in Iteration
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Title not available (Why is that?)
• Dynamic stochastic programming for asset-liability management
• Applying the progressive hedging algorithm to stochastic generalized networks
• Multi-stage stochastic linear programs for portfolio optimization
• Stochastic Network Programming for Financial Planning Problems
• Title not available (Why is that?)
• Feasible direction algorithm for optimal control problems with state and control constraints: Implementation
• Title not available (Why is that?)
• Interior point methods for optimal control of discrete time systems
• Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time
• Title not available (Why is that?)
• Efficient dynamic programming implementations of Newton's method for unconstrained optimal control problems
• Approximate scenario solutions in the progressive hedging algorithm. A numerical study with an application to fisheries management
• Structural properties of the progressive hedging algorithm
• Computational assessment of distributed decomposition methods for stochastic linear programs
• Title not available (Why is that?)
• Title not available (Why is that?)
• Primal-Dual Projected Gradient Algorithms for Extended Linear-Quadratic Programming

Cited In (7)

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

This page was built for publication: Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q704083)