Portfolio optimization via stochastic programming: Methods of output analysis

被引：0
|
作者：
Jitka Dupačová
机构：
[1] Department of Probability and Mathematical Statistics,
[2] Charles University,undefined
[3] Sokolovská 83,undefined
[4] CZ-186 75 Prague,undefined
[5] Czech Republic (e-mail: dupacova@karlin.mff.cuni.cz),undefined
来源：
Mathematical Methods of Operations Research | 1999年 / 50卷
关键词：
Key words: Portfolio optimization; stochastic programming; stability; postoptimality; worst-case analysis;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：245 / 270
页数：25
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