Numerical techniques for stochastic optimization
Numerical techniques for stochastic optimization
Sensitivity analysis for mean-variance portfolio problems
Management Science
Multi-stage stochastic linear programs for portfolio optimization
Annals of Operations Research
Robust portfolio selection problems
Mathematics of Operations Research
Adjustable robust solutions of uncertain linear programs
Mathematical Programming: Series A and B
Fuzzy multi period portfolio selection with different rates for borrowing and lending
Applied Soft Computing
A constraint sampling approach for multi-stage robust optimization
Automatica (Journal of IFAC)
A risk index model for multi-period uncertain portfolio selection
Information Sciences: an International Journal
Fuzzy multi-period portfolio selection optimization models using multiple criteria
Automatica (Journal of IFAC)
Multi-period portfolio selection using kernel-based control policy with dimensionality reduction
Expert Systems with Applications: An International Journal
Hi-index | 22.15 |
This paper is concerned with multi-period sequential decision problems for financial asset allocation. A model is proposed in which periodic optimal portfolio adjustments are determined with the objective of minimizing a cumulative risk measure over the investment horizon, while satisfying portfolio diversity constraints at each period and achieving or exceeding a desired terminal expected wealth target. The proposed solution approach is based on a specific affine parameterization of the recourse policy, which allows us to obtain a sub-optimal but exact and explicit problem formulation in terms of a convex quadratic program. In contrast to the mainstream stochastic programming approach to multi-period optimization, which has the drawback of being computationally intractable, the proposed setup leads to optimization problems that can be solved efficiently with currently available convex quadratic programming solvers, enabling the user to effectively attack multi-stage decision problems with many securities and periods.