A Dynamic Stochastic Network Model for Asset Allocation Problem

2009 ◽  
Author(s):  
Haiqing Song ◽  
Huei-Chuen Huang ◽  
Ning Shi ◽  
K.K. Lai
Keyword(s):  
Network Model ◽  
Asset Allocation ◽  
Allocation Problem ◽  
Stochastic Network ◽  
Dynamic Stochastic

scholarly journals STOCHASTIC OPTIMIZATION OF HEURISTIC METHOD RULE TO DETERMINE ASSET ALLOCATION TO RETIREMENT PORTFOLIO / STOCHASTINIS EURISTINIO METODO TAISYKLĖS PENSIJOS PORTFELIO SUDĖČIAI NUSTATYTI OPTIMIZAVIMAS

2011 ◽  
Vol 12 (1) ◽  
pp. 92-98
Author(s):  
Aušra Klimavičienė
Keyword(s):  
Stochastic Optimization ◽  
Stochastic Simulation ◽  
Asset Allocation ◽  
Heuristic Method ◽  
Simulation Models ◽  
Optimization Techniques ◽  
Human Lifespan ◽  
Stochastic Returns ◽  
Dynamic Stochastic ◽  
Population Mortality

The article examines the problem of determining asset allocation to sustainable retirement portfolio. The article attempts to apply heuristic method – 100 minus age in stocks rule – to determine asset allocation to sustainable retirement portfolio. Using dynamic stochastic simulation and stochastic optimization techniques the optimization of heuristic method rule is presented and the optimal alternative to „100“ is found. Seeking to reflect the stochastic nature of stock and bond returns and the human lifespan, the dynamic stochastic simulation models incorporate both the stochastic returns and the probability of living another year based on Lithuania‘s population mortality tables. The article presents the new method – adjusted heuristic method – to be used to determine asset allocation to retirement portfolio and highlights its advantages.

Portfolio Optimization Model for Asset Allocation Problem Based on Alternative Risk Measures

2021 ◽  
pp. 673-693
Author(s):  
Anna Andreevna Malakhova ◽  
Elena Nikolaevna Sochneva ◽  
Svetlana Anatolyevna Yarkova ◽  
Anastasiya Vladimirovna Yarkova ◽  
Olga Valeryevna Starova ◽  
...  
Keyword(s):  
Portfolio Optimization ◽  
Asset Allocation ◽  
Optimization Model ◽  
Risk Measures ◽  
Allocation Problem ◽  
Portfolio Optimization Model

scholarly journals A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM

2013 ◽  
Vol 55 (1) ◽  
pp. 14-38 ◽  
Author(s):  
S. KILIANOVÁ ◽  
D. ŠEVČOVIČ
Keyword(s):  
Bellman Equation ◽  
Optimal Allocation ◽  
Quasilinear Parabolic Equation ◽  
Optimal Strategies ◽  
Travelling Wave ◽  
Allocation Problem ◽  
Hamilton Jacobi Bellman Equation ◽  
Dynamic Stochastic ◽  
Hamilton Jacobi Bellman ◽  
Diffusion Function

AbstractWe propose and analyse a method based on the Riccati transformation for solving the evolutionary Hamilton–Jacobi–Bellman equation arising from the dynamic stochastic optimal allocation problem. We show how the fully nonlinear Hamilton–Jacobi–Bellman equation can be transformed into a quasilinear parabolic equation whose diffusion function is obtained as the value function of a certain parametric convex optimization problem. Although the diffusion function need not be sufficiently smooth, we are able to prove existence and uniqueness and derive useful bounds of classical Hölder smooth solutions. Furthermore, we construct a fully implicit iterative numerical scheme based on finite volume approximation of the governing equation. A numerical solution is compared to a semi-explicit travelling wave solution by means of the convergence ratio of the method. We compute optimal strategies for a portfolio investment problem motivated by the German DAX 30 index as an example of the application of the method.

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