A SCENARIO GENERATION METHOD WITH HETEROSKEDASTICITY AND MOMENT MATCHING

被引：5
|
作者：
Deniz, Erhan [1 ]
Luxhoj, James T. [1 ]
机构：
[1] Rutgers State Univ, Dept Ind & Syst Engn, Piscataway, NJ 08854 USA
来源：
ENGINEERING ECONOMIST | 2011年 / 56卷 / 03期
基金：
美国国家航空航天局;
关键词：
STOCHASTIC-PROGRAMMING MODEL; LIFETIME PORTFOLIO SELECTION; ASSET; MANAGEMENT; VOLATILITY; OPTIMIZATION; VARIANCE;
D O I：
10.1080/0013791X.2011.599918
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We present a portfolio management framework composed of a new scenario generation algorithm and a stochastic programming (SP) model. The algorithm is built on heteroskedastic models and a moment matching approach to construct a scenario tree that is a calibrated representation of the randomness in risky asset returns. We also present a multistage SP model that maximizes the expected final wealth and controls the risk exposure through limiting conditional value-at-risk (CVaR) at each decision epoch over the scenario tree generated by the algorithm.
引用
收藏
页码：231 / 253
页数：23
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