Stochastic optimization of multi-period asset allocation problems
Type Research Project
Duration Oct. 1, 1998 - Jan. 1, 2010
- Operations Research AE (Former organization)
Tags
Press 'enter' for creating the tag- Geyer, Alois (Details) Project Head
Abstract (English)
The purpose of this research is to compare different approaches to optimize multiperiod (dynamic) stochastic asset allocation problems. Approaches range from (static) quadratic portfolio optimization (implying a fixed asset-mix over the planning periods), to stochastic (non)linear models (implying optimal adjustment of portfolio weights over time). The models are compared under different assumptions regarding the stochastic nature of return distributions. <br>optimization; simulation
Publications
Journal article
| 2010 | Geyer, Alois, Hanke, Michael, Weissensteiner, Alex. 2010. No-arbitrage conditions, scenario trees, and multi-asset financial optimization. European Journal of Operational Research (EJOR) 206 (3): 609-613. | (Details) | |
| 2009 | Geyer, Alois, Hanke, Michael, Weissensteiner, Alex. 2009. A Stochastic Programming Approach for Multi-Period Portfolio Optimization. Computational Management Science 6 (2): 187-208. | (Details) | |
| 2008 | Geyer, Alois, Ziemba, William T.. 2008. The Innovest Austrian Pension Fund Financial Planning Model InnoALM. Operations Research 56 (4): 797-810. | (Details) |
Paper presented at an academic conference or symposium
| 2004 | Alois Geyer. 2004. Some aspects of the Innovest Pension Fund Planning Model InnoALM. Workshop on Asset Liability Management | (Details) |