Stochastic optimization of multi-period asset allocation problems

    Project Details


    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
    Effective start/end date1/10/981/01/10

    Austrian Classification of Fields of Science and Technology (OEFOS)

    • 101015 Operations research
    • 502025 Econometrics
    • 502