Applying optimization technology to portfolio management

Research output: Contribution to journalReview articlepeer-review

3 Scopus citations

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 languageEnglish (US)
Pages (from-to)162-168+14
JournalJournal of Portfolio Management
Volume30
Issue numberSUPPL.
DOIs
StatePublished - Sep 2004

All Science Journal Classification (ASJC) codes

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

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