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HPCFIN - High-Performance Computing for Financial Planning
April 11-13, 1999
Center for Research on Parallel Computers and Supercomputing (CPS-CNR)
Ischia, Naples, Italy |
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Organizers
Almerico Murli, Stavros A. Zenios
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Portfolio Optimization via Stochastic Programming:Methods of Output Analysis
by
Jitka Dupacova
Department of Probability and Mathematical Statistics, Charles University, Prague, Czech Republic
Abstract
The decisions based on solution 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 via stochastic
programming 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 methods are based on asymptotic and robust statistics and on
the moment problem.
Keywords: Portfolio optimization, stochastic programming,
stability, postoptimality, worst-case analysis.
Date received: February 12, 1999
Copyright © 1999 by the author(s).
The author(s) of this document and the organizers of the conference
have granted their consent to include this abstract in
Atlas Conferences Inc.
Document # cacq-10.