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

DOI10.15807/JORSJ.58.307zbMath1338.90216OpenAlexW2147987688MaRDI QIDQ2799655

Shinya Hirano, Norio Hibiki

Publication date: 13 April 2016

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.58.307

zbMATH Keywords

stochastic optimizationsimulationinvestmentmulti-period asset allocation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Management decision making, including multiple objectives (90B50) Stochastic models in economics (91B70) Discrete location and assignment (90B80)

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