Portfolio optimization via stochastic programming: Methods of output analysis

Jitka Dupačová

Mathematical Methods of Operations Research, 1999, vol. 50, issue 2, 245-270

Abstract: 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. Copyright Springer-Verlag Berlin Heidelberg 1999

Keywords: Key words: Portfolio optimization; stochastic programming; stability; postoptimality; worst-case analysis (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1007/s001860050097

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