A general framework for multistage mean-variance post-tax optimization

DOI10.1007/s10479-007-0255-4zbMath1147.91029OpenAlexW2167875870MaRDI QIDQ940838

Maria A. Osorio, Berc Rustem, Nalân Gülpinar

Publication date: 3 September 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-007-0255-4

zbMATH Keywords

scenario treemean-variance portfolio managementmultistage stochastic mixed-integer quadratic programmingpost-tax optimization

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (2)

Portfolio optimization with transaction costs: a two-period mean-variance model ⋮ Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic

Uses Software

• BPMPD

Cites Work

• Generating Scenario Trees for Multistage Decision Problems
• Simulation and optimization approaches to scenario tree generation
• Post-tax optimization with stochastic programming
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Introduction to Stochastic Programming
• Scenario generation and stochastic programming models for asset liability management
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