Research output per year
Research output per year
Project Details
Description
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
optimization; simulation
| Status | Finished |
|---|---|
| Effective start/end date | 1/10/98 → 1/01/10 |
Austrian Classification of Fields of Science and Technology (OEFOS)
- 101015 Operations research
- 502025 Econometrics
- 502
Research output
- 3 Journal article
-
No-arbitrage conditions, scenario trees, and multi-asset financial optimization
Geyer, A., Hanke, M. & Weissensteiner, A., 1 Mar 2010, In: European Journal of Operational Research (EJOR). 206, 3, p. 609 - 613Publication: Scientific journal › Journal article › peer-review
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A Stochastic Programming Approach for Multi-Period Portfolio Optimization
Geyer, A., Hanke, M. & Weissensteiner, A., 1 Jul 2009, In: Computational Management Science. 6, 2, p. 187 - 208Publication: Scientific journal › Journal article › peer-review
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The Innovest Austrian Pension Fund Financial Planning Model InnoALM
Geyer, A. & Ziemba, W. T., 1 Sept 2008, In: Operations Research. 56, 4, p. 797 - 810Publication: Scientific journal › Journal article › peer-review
Activities
- 1 Science to science
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Some aspects of the Innovest Pension Fund Planning Model InnoALM
Geyer, A. (Speaker)
2004Activity: Talk or presentation › Science to science