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) |
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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
- General Business, Management and Accounting
- Finance
- Economics and Econometrics