Explicit solution of a general consumption/investment problem
Mathematics of Operations Research
Multi-stage stochastic linear programs for portfolio optimization
Annals of Operations Research
SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
SIAM Journal on Optimization
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The question of optimal strategic asset allocation for investors with behavioural utilities saving for retirement is addressed. To date this problem has been studied assuming that an investor is rational in the sense when making investment decisions the preference relation of the investor satisfies all the axioms of choice. Research in behavioural science indicates that investment related decisions of many people do not satisfy the axioms of choice. Our interest is in developing a platform that allows the use of a broader class of utilities that may or may not satisfy the axioms of choice. Such utilities may not be convex. Our interest is in developing a framework algorithm that enables a user considerable flexibility in how their needs may be specified. For illustrative purposes a binomial tree is used to model asset returns, although the method developed can be used with more elaborate models.