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ArticleMulti-period stochastic optimization models for dynamic asset allocation

Norio Hibiki2005

Article2005

Multi-period stochastic optimization models for dynamic asset allocation

51 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1989Handbooks in operations research and management science 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1977Capital market equilibrium in a mean-lower partial moment framework 1997Strategic asset allocation 2003A Heuristic for Moment-Matching Scenario Generation 1991Asset Allocation in a Downside-Risk Framework 1998Worldwide asset and liability modeling

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2015Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

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Year2005

Typearticle

Published2005-06-28

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations51

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2005.04.027

openalex_workW2073819664

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