@inbook{3176fec7559d415ab809a063403bb646,
title = "Optimizing a portfolio of liquid and illiquid assets",
abstract = "Current market conditions pose new challenges for institutional investors. Traditional asset and liability models are struggling to meet investors{\textquoteright} needs due to poor performance of equity and bond markets. The move of portfolio allocation to alternative assets is evident. As a result, illiquidity issues and rebalancing difficulty arise. We propose some new tactics of commodity futures to enhance the performance of portfolio return as well as solving illiquidity issues. Hidden Markov Model and multistage stochastic optimization are used to systematically optimize portfolio over a set of assets.",
keywords = "Asset liability model, Commodity futures, Hidden Markov Model, Illiquidity, Multi-stage optimization",
author = "Mulvey, {John M.} and Kim, {Woo Chang} and Changle Lin",
note = "Publisher Copyright: {\textcopyright} Springer International Publishing Switzerland 2017.",
year = "2017",
doi = "10.1007/978-3-319-41613-7_7",
language = "English (US)",
series = "International Series in Operations Research and Management Science",
publisher = "Springer New York LLC",
pages = "151--175",
booktitle = "International Series in Operations Research and Management Science",
}