MULTI-PERIOD STOCHASTIC PROGRAMMING MODEL FOR STATE-DEPENDENT ASSET ALLOCATION WITH CVAR

Author:

Hirano Shinya1,Hibiki Norio2

Affiliation:

1. Okasan Asset Management

2. Keio University

Publisher

The Operations Research Society of Japan

Subject

Management Science and Operations Research,General Decision Sciences

Reference15 articles.

1. [1] E. Bogentoft, H. Romeijn, and S. Uryasev: Asset/Liability Management for Pension Funds Using CVaR Constraints. The Journal of Risk Finance, 3-1 (2001), 57–71.

2. [2] G. Calafiore: Multi-period Portfolio Optimization with Linear Control Policies. Automatica, 44 (2008), 2463–2473.

3. [4] J. Detemple, R. Garcia and M. Rindisbacher: Simulation Methods for Optimal Portfolios. In Birge, J. R. and V. Linetsky (eds.): Handbooks in Operations Research and Management Science: Financial Engineering Volume 15 (Elsevier, 2007), 867–924.

4. [5] N. Hibiki: Multi-period Stochastic Programming Models Using Simulated Paths for Strategic Asset Allocation. Journal of Operations Research Society of Japan, 44 (2001), 169–193 (in Japanese).

5. [6] N. Hibiki: A Hybrid Simulation/Tree Multi-period Stochastic Programming Model for Optimal Asset Allocation. In H. Takahashi (eds.), The Japanese Association of Financial Econometrics and Engineering, JAFEE Journal [2001], 89–119 (in Japanese).

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