Stochastic Network Programming for Financial Planning Problems
Ημερομηνία
1992Source
Management ScienceVolume
38Issue
11Pages
1642-1664Google Scholar check
Metadata
Εμφάνιση πλήρους εγγραφήςΕπιτομή
Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading arbitrage. Despite the large size of the resulting stochastic programs, the network structure can be exploited within the solution strategy giving rise to efficient implementations. Empirical results are presented indicating the benefits of the stochastic network approach for the asset allocation case.