Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization
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References listed on IDEAS
- Diana Barro & Elio Canestrelli, 2009. "Tracking error: a multistage portfolio model," Annals of Operations Research, Springer, vol. 165(1), pages 47-66, January.
- John R. Birge & Liqun Qi, 1988. "Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming," Management Science, INFORMS, vol. 34(12), pages 1472-1479, December.
- A. Ruszczynski, 1994.
"On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs,"
wp94005, International Institute for Applied Systems Analysis.
- C.H. Rosa & A. Ruszczynski, 1994. "On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs," Working Papers wp94125, International Institute for Applied Systems Analysis.
- Barro, Diana & Canestrelli, Elio, 2005. "Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach," European Journal of Operational Research, Elsevier, vol. 163(1), pages 217-229, May.
- Vladimirou, Hercules, 1998. "Computational assessment of distributed decomposition methods for stochastic linear programs," European Journal of Operational Research, Elsevier, vol. 108(3), pages 653-670, August.
- John R. Birge, 1985. "Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs," Operations Research, INFORMS, vol. 33(5), pages 989-1007, October.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Diana Barro & Elio Canestrelli, 2011. "Combining stochastic programming and optimal control to solve multistage stochastic optimization problems," Working Papers 2011_24, Department of Economics, University of Venice "Ca' Foscari", revised 2011.
- Diana Barro & Elio Canestrelli, 2016. "Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(3), pages 711-742, July.
More about this item
KeywordsStochastic programming; Discrete time optimal control problem; Iterative scheme; Portfolio optimization;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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