Stochastic Network Programming for Financial Planning Problems

Abstract

Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading arbitrage. Despite the large size of the resulting stochastic programs, the network structure can be exploited within the solution strategy giving rise to efficient implementations. Empirical results are presented indicating the benefits of the stochastic network approach for the asset allocation case.

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