A stochastic programming approach for multi-period portfolio optimization

Abstract

Life-cycle asset allocation, Stochastic linear programming, Scenario trees, VAR(1) process,

A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control

“…By using Eqs. (12) and (29), the possibilistic variance of the portfolio return at the t th period R P ,t can be expressed by (see [39])…”

“…Yan and Li [34] proposed a class of multi-period semi-variance portfolio selection with a four-factor futures price model in stochastic market. Geyer et al [12] used stochastic linear programming approach to study the multi-period portfolio optimization. Calafiore [4] proposed a model in which periodic optimal portfolio adjustments were determined with the objective of minimizing a cumulative risk measure over the investment horizon, while satisfying portfolio diversity constraints at each period and achieving or exceeding a desired terminal expected wealth target.…”

Application of stochastic linear programming in managerial accounting

“…A solution to the stochastic linear programming (SLP) problem can be useful to hedge against various scenarios as well as risks (Kall and Mayer, 2011; Consigli and Moriggia, 2014). It receives much interest from practitioners and researchers (Hoffman et al , 2004; Geyer et al , 2009; Trusevych et al , 2014; Righetto et al , 2016). Applications of stochastic programming are found in forest planning (Garcia-Gonzalo et al , 2016), cost–volume–profit analysis (Yunker, 2001; Chrysafis and Papadopoulos, 2009), production and inventory planning (Golari et al , 2017).…”