Journal ArticleDOI
Multi-stage stochastic linear programs for portfolio optimization
George B. Dantzig,Gerd Infanger +1 more
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A scheme based on a blending of classical Benders decomposition techniques and a special technique, called importance sampling, is used to solve this general class of multi-stochastic linear programs.Abstract:
The paper demonstrates how multi-period portfolio optimization problems can be efficiently solved as multi-stage stochastic linear programs. A scheme based on a blending of classical Benders decomposition techniques and a special technique, called importance sampling, is used to solve this general class of multi-stochastic linear programs. We discuss the case where stochastic parameters are dependent within a period as well as between periods. Initial computational results are presented.read more
Citations
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Journal ArticleDOI
Scenarios for Multistage Stochastic Programs
TL;DR: The case when enough data paths can be generated according to an accepted parametric or nonparametric stochastic model when no assumptions on convexity with respect to the random parameters are required is discussed.
Journal ArticleDOI
Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
TL;DR: The interplay between objective and constraints in a number of single-period variants, including semivariance models are described, revealing the possibility of removing surplus money in future decisions, yielding approximate downside risk minimization.
Journal ArticleDOI
Monte Carlo sampling-based methods for stochastic optimization
TL;DR: An overview of the use of Monte Carlo sampling-based methods for stochastic optimization problems with sampling is given, with the goal of introducing the topic to students and researchers and providing a practical guide for someone who needs to solve a stochastically optimization problem with sampling.
Journal ArticleDOI
Stochastic dual dynamic integer programming
TL;DR: An extension to SDDP—called stochastic dual dynamic integer programming (SDDiP)—for solving MSIP problems with binary state variables is proposed and it is shown that, under fairly reasonable assumptions, an MSIP problem with general state variables can be approximated by one withbinary state variables to desired precision with only a modest increase in problem size.
Journal ArticleDOI
The mean-variance approach to portfolio optimization subject to transaction costs
TL;DR: The experimental analysis indicates that ignoring the transa,ction costss results in inefficient portfolios, and there does not exist statistica,lly significant difference in portfolio performance with different methods to estimate the expected return of se~urit~ies, when considering the tra,nsact,ion costs int,o the p~rt~folio return.
References
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Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
Portfolio Selection: Efficient Diversification of Investments
Alan Stuart,Harry M. Markowitz +1 more
TL;DR: In this article, the authors defined asset classes technology sector stocks will diminish as the construction of the portfolio, and the construction diversification among the, same level of assets, which is right for instance among the assets.
Journal ArticleDOI
Methods of Numerical Integration.
Journal ArticleDOI
Partitioning procedures for solving mixed-variables programming problems
TL;DR: In this article, the 8th International Meeting of the Institute of Management Sciences, Brussels, August 23-26, 1961, the authors presented a paper entitled "The International Journal of Management Science and Management Sciences".
Book
Portfolio Selection: Efficient Diversification of Investments
TL;DR: In this paper, the authors apply modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors, such as hedge fund managers, hedge funds, and hedge funds.