Stochastic Multistage Programming in Financial Decision Making
Journal
Zeitschrift für Angewandte Mathematik und Mechanik (ZAMM)
ISSN
0044-2267
Type
journal article
Date Issued
1996
Author(s)
Abstract
Multistage stochastic programming is applied to optimal funding and to multistage mean-variance analysis. Optimal funding is part of the fixed income management where the various types of interest rate risk have to be controlled, primarily. Mean-variance is used within asset allocation for controlling the equity risk, fond manager are exposed to, mainly. Both problems suffer from the curse of dimensionality due to the dynamic decision making. It is discussed, how the funding model and the multistage mean-variance model benefit from the convexity of their value functions with respect to numerical solvability.
Language
English
HSG Classification
not classified
Refereed
No
Publisher
Akademie Verlag
Publisher place
Berlin, DE
Volume
76
Start page
21
End page
24
Pages
4
Subject(s)
Division(s)
Eprints ID
7094