Abstract
Multiperiod optimization models are typical in portfolio management. Prominent examples include fund construction, the investment/consumption problem for individual investors, and asset/liability management for global financial organizations. Powerful optimization technology can expand the range of solvable portfolio applications, especially for investment problems over time. Three primary frameworks-stochastic control, stochastic programs, and optimizing simulators-have their particular advantages. Advanced optimization tools will be useful in many future applications.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 162-168+14 |
| Journal | Journal of Portfolio Management |
| Volume | 30 |
| Issue number | SUPPL. |
| DOIs | |
| State | Published - Sep 2004 |
All Science Journal Classification (ASJC) codes
- Accounting
- Business, Management and Accounting(all)
- Finance
- Economics and Econometrics