Accession Number:

ADA242308

Title:

Multi-Stage Stochastic Linear Programs for Portfolio Optimization

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CA SYSTEMS OPTIMIZATION LAB

Personal Author(s):

Report Date:

1991-09-01

Pagination or Media Count:

23.0

Abstract:

The paper demonstrates how multi-period portfolio optimization problems can be efficiently solved as multi-stage stochastic linear programs. A scheme based on a blending of classical Benders decomposition techniques and a special technique, called importance sampling, is used to solve this general class of multi-stage stochastic linear programs. We discuss the case where stochastic parameters are dependent within a period as well as between periods. Initial computational results are presented.

Subject Categories:

  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE