Portfolio optimization via stochastic programming:: Methods of output analysis

被引：29
|
作者：
Dupacová, J [1 ]
机构：
[1] Charles Univ Prague, Dept Probabil & Math Stat, CZ-18675 Prague, Czech Republic
来源：
MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 1999年 / 50卷 / 02期
关键词：
portfolio optimization; stochastic programming; stability; post-optimality; worst-case analysis;
D O I：
10.1007/s001860050097
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Solutions of portfolio optimization problems are often influenced by errors or misspecifications due to approximation, estimation and incomplete information. Selected methods for analysis of results obtained by solving stochastic programs are presented and their scope illustrated on generic examples - the Markowitz model a multiperiod bond portfolio management problem and a general strategic investment problem. The approaches are based on asymptotic and robust statistics, on the moment problem and on results of parametric optimization.
引用
收藏
页码：245 / 270
页数：26
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