Simulation-based parametric optimization for long-term asset allocation using behavioral utilities

Author:

Adachi Jeff,Gupta Aparna

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation

Reference25 articles.

1. J.M. Adachi, Combining Stochastic Linear Programming and Dynamic Programming to Solve Multiperiod Portfolio Problems, Ph.D. Thesis, Department of Operations Research, Stanford University, 1996

2. The hyperbolic consumption model: calibration simulation and empirical evaluation;Angeletos;J. Econ. Perspect.,2001

3. Modeling dynamic inconsistency with a dynamic reference point;Barkan;J. Behav. Decis. Mak.,2003

4. The Russell–Yasuda Kasai model: an asset/liability model for a Japanese insurance company using multistage stochastic programming;Carino;Interfaces,1994

5. Multi-stage stochastic linear programs for portfolio optimization;Dantzig;Ann. Oper. Res.,1993

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