A stochastic programming approach for multi-period portfolio optimization

Alois Geyer, Michael Hanke and Alex Weissensteiner ()

Computational Management Science, 2009, vol. 6, issue 2, 187-208

Keywords: Life-cycle asset allocation; Stochastic linear programming; Scenario trees; VAR(1) process (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10287-008-0089-9

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