Stochastic optimization of multi-period asset allocation problems


Type Research Project

Duration Oct. 1, 1998 - Jan. 1, 2010

  • Operations Research AE (Former organization)

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  • 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)

Classification

Expertise

  • asset allocation