Simulation-based parametric optimization for long-term asset allocation using behavioral utilities
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Cites work
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- A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
- Additivity, utility, and subjective probability
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- How to spend and invest retirement savings
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- Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
- Multi-stage stochastic linear programs for portfolio optimization
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Stochastic network optimization models for investment planning
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