A Stochastic Programming Approach for Multi-Period Portfolio Optimization
نویسندگان
چکیده
منابع مشابه
A stochastic programming approach for multi-period portfolio optimization
Abstract — An Asset-Liability Management model with a novel strategy for controlling risk of underfunding is presented in this paper. The basic model involves Multi-Period decisions (portfolio optimization) and deals with the usual uncertainty of investment returns and future liabilities. Therefore, is it well suited to a stochastic programming approach. We consider the problem of rebalancing p...
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ژورنال
عنوان ژورنال: Southeast Europe Journal of Soft Computing
سال: 2012
ISSN: 2233-1859
DOI: 10.21533/scjournal.v1i2.60