A multiperiod portfolio model provides significant advantages over traditional single-period approaches-especially for long-term investors. Such a framework can enhance risk-adjusted performance and help investors evaluate the probability of reaching financial goals by linking asset and liability policies. Multiperiod portfolio models consist of three basic components: a stochastic scenario generator; a policy rule simulator; and an optimization module that identifies non-dominated solutions. Useful applications are in pension planning, insurance risk management, hedge funds, and asset allocation for individual investors.
|Original language||English (US)|
|Journal||Journal of Portfolio Management|
|State||Published - Dec 1 2003|
All Science Journal Classification (ASJC) codes
- Business, Management and Accounting(all)
- Economics and Econometrics