Advanced Search
MyIDEAS: Login to save this paper or follow this series

Mean Variance Optimization of Forward Looking Systems and Worst-case Analysis


Author Info

  • Volker Wieland
  • Berc Rustem


  • Stanislav Zakovic


In this paper we consider expected value and mean variance optimization of a general forward--looking stochastic model. The problem is transformed into a general--nonlinear programming problem by adding extra constraints, which restrict the policy maker to commit to a certain policy. Based on this policy,and the rest of the economic structure, the agents can forecast future states except for random future disturbances. We present algorithms for computing optimal expected values based on iterative Taylor expansion and an interior point method for computing minimax robust policies. The results from both approaches are compared in order to assess the relative advantage of each approach and measure robustness against performance, and are also compared against DYNARE - a program for solving rational expectations models

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 267.

as in new window
Date of creation: 11 Nov 2005
Date of revision:
Handle: RePEc:sce:scecf5:267

Contact details of provider:
Web page:
More information through EDIRC

Related research

Keywords: macroeconomic policy; optimization; uncertain models;

Find related papers by JEL classification:


No references listed on IDEAS
You can help add them by filling out this form.



This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:sce:scecf5:267. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.