EconPapers    
Economics at your fingertips  
 

Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization

Diana Barro () and Elio Canestrelli

GE, Growth, Math methods from EconWPA

Abstract: We propose a decomposition method for the solution of a dynamic portfolio optimization problem which fits the formulation of a multistage stochastic programming problem. The method allows to obtain time and nodal decomposition of the problem in its arborescent formulation applying a discrete version of Pontryagin Maximum Principle. The solution of the decomposed problems is coordinated through a fixed- point weighted iterative scheme. The introduction of an optimization step in the choice of the weights at each iteration allows to solve the original problem in a very efficient way.

Keywords: Stochastic programming; Discrete time optimal control problem; Iterative scheme; Portfolio optimization (search for similar items in EconPapers)
JEL-codes: C61 C63 D81 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-10-28
Note: Type of Document - pdf; pages: 18
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://econwpa.repec.org/eps/ge/papers/0510/0510011.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpge:0510011

Access Statistics for this paper

More papers in GE, Growth, Math methods from EconWPA
Series data maintained by EconWPA ().

 
Page updated 2017-07-29
Handle: RePEc:wpa:wuwpge:0510011