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Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach

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  • Barro, Diana
  • Canestrelli, Elio

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  • Barro, Diana & Canestrelli, Elio, 2005. "Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach," European Journal of Operational Research, Elsevier, vol. 163(1), pages 217-229, May.
    • Handle: RePEc:eee:ejores:v:163:y:2005:i:1:p:217-229
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    References listed on IDEAS

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    1. G. Consigli & M. Dempster, 1998. "Dynamic stochastic programmingfor asset-liability management," Annals of Operations Research, Springer, vol. 81(0), pages 131-162, June.
    2. Vladimirou, Hercules, 1998. "Computational assessment of distributed decomposition methods for stochastic linear programs," European Journal of Operational Research, Elsevier, vol. 108(3), pages 653-670, August.
    3. John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
    4. M. I. Kusy & W. T. Ziemba, 1986. "A Bank Asset and Liability Management Model," Operations Research, INFORMS, vol. 34(3), pages 356-376, June.
    5. Stephen P. Bradley & Dwight B. Crane, 1972. "A Dynamic Model for Bond Portfolio Management," Management Science, INFORMS, vol. 19(2), pages 139-151, October.
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    Cited by:

    1. Diana Barro & Elio Canestrelli, 2005. "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods 0510011, University Library of Munich, Germany.
    2. Buu-Chau Truong & Nguyen Van Thuan & Nguyen Huu Hau & Michael McAleer, 2019. "Applications of the Newton-Raphson Method in Decision Sciences and Education," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 52-80, December.
    3. Serhat Gul & Brian T. Denton & John W. Fowler, 2015. "A Progressive Hedging Approach for Surgery Planning Under Uncertainty," INFORMS Journal on Computing, INFORMS, vol. 27(4), pages 755-772, November.
    4. Diana Barro & Elio Canestrelli, 2009. "Tracking error: a multistage portfolio model," Annals of Operations Research, Springer, vol. 165(1), pages 47-66, January.
    5. Mingers, John & Parker, Kim T., 2010. "Should you stop investing in a sinking fund when it is sinking?," European Journal of Operational Research, Elsevier, vol. 207(1), pages 508-513, November.
    6. Diana Barro & Elio Canestrelli, 2011. "Combining stochastic programming and optimal control to solve multistage stochastic optimization problems," Working Papers 2011_24, Department of Economics, University of Venice "Ca' Foscari", revised 2011.
    7. Bianchi, Daniele & Guidolin, Massimo, 2014. "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, vol. 236(1), pages 160-176.
    8. Diana Barro & Elio Canestrelli, 2016. "Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(3), pages 711-742, July.
    9. Shuo Gao & Ping Jiang, 2020. "Detecting and understanding co-benefits generated in tackling climate change and environmental degradation in China," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 22(5), pages 4589-4618, June.

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