Stochastische Optimierung mehrperiodiger Veranlagungsstrategien

    Projektdetails

    Beschreibung

    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.
    optimization; simulation
    StatusAbgeschlossen
    Tatsächlicher Beginn/ -es Ende1/10/981/01/10

    Österreichische Systematik der Wissenschaftszweige (ÖFOS)

    • 101015 Operations Research
    • 502025 Ökonometrie
    • 502 not use (Altbestand)