Advantages of multiperiod portfolio models

John M. Mulvey, William R. Pauling, Ronald E. Madey

Research output: Contribution to journalArticlepeer-review

22 Scopus citations

Abstract

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 languageEnglish (US)
Pages (from-to)35-45+4
JournalJournal of Portfolio Management
Volume29
Issue number2
StatePublished - Dec 1 2003

All Science Journal Classification (ASJC) codes

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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