A decision support system for strategic asset allocation

Authors:
P. Beraldi;A. Violi;F. De Simone
Affiliations:
Department of Electronics, Informatics and Systems, University of Calabria, Rende, Italy;Department of Electronics, Informatics and Systems, University of Calabria, Rende, Italy and NEC-CESIC, Supercomputing Center for Computational Engineering, Rende, Italy;Department of Electronics, Informatics and Systems, University of Calabria, Rende, Italy and NEC-CESIC, Supercomputing Center for Computational Engineering, Rende, Italy
Venue:
Decision Support Systems
Year:
2011

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Abstract

Strategic asset allocation is a crucial activity for any institutional or individual investor. Given a set of asset classes, the problem concerns the definition and management over time of the best asset mix to achieve favorable returns subject to various uncertainties, policy and legal constraints, and other requirements. Although a considerable attention has been placed by the scientific community to address this problem by proposing sophisticated optimization models, limited effort has been devoted to the design of integrated framework that can be systematically used by financial operators. The paper presents a decision support system which integrates simulation techniques for forecasting future uncertain market conditions and sophisticated optimization models based on the stochastic programming paradigm. The system has been designed to be accessed via web and takes advantages of the increased computational power offered by high performance computing platforms. Real-world instances have been used to assess the performance of the decision support system also in comparison with more traditional portfolio optimization strategies.