LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING

被引：1011
|
作者：
SAMUELSON, PA [1 ]
机构：
[1] MIT,CAMBRIDGE,MA
来源：
REVIEW OF ECONOMICS AND STATISTICS | 1969年 / 51卷 / 03期
关键词：
D O I：
10.2307/1926559
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
引用
收藏
页码：239 / 246
页数：8
相关论文
共 50 条
  • [1] Portfolio selection by dynamic stochastic programming compared to stochastic optimal control.
    Bosch, M
    Devolder, P
    Dominguez, I
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (02): : 436 - 437
  • [2] A stochastic programming model for portfolio selection
    Chang, Kuo-Hwa
    Chen, Hsiang-Ju
    Liu, Chang-Yuh
    Journal of the Chinese Institute of Industrial Engineers, 2002, 19 (03): : 31 - 41
  • [3] Stochastic programming model for the selection of an optimal portfolio
    Vakriniene, Sigute
    Pabedinskaite, Arnoldina
    9TH INTERNATIONAL CONFERENCE: MODERN BUILDING MATERIALS, STRUCTURES AND TECHNIQUES, VOLS 1-3, 2008, : 414 - +
  • [4] On-line portfolio selection using stochastic programming
    Gaivoronski, AA
    Stella, F
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2003, 27 (06): : 1013 - 1043
  • [5] Multi-objective stochastic programming for portfolio selection
    Ben Abdelaziz, Fouad
    Aouni, Belaid
    El Fayedh, Rimeh
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2007, 177 (03) : 1811 - 1823
  • [6] A dynamic stochastic programming model for international portfolio management
    Topaloglou, Nikolas
    Vladimirou, Hercules
    Zenios, Stavros A.
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2008, 185 (03) : 1501 - 1524
  • [7] Solving dynamic portfolio problems using stochastic programming
    Consigli, G
    Dempster, MAH
    ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND MECHANIK, 1997, 77 : S535 - S536
  • [8] A dynamic stochastic programming model for bond portfolio management
    Yu, LY
    Wang, SY
    Wu, Y
    Lai, KK
    COMPUTATIONAL SCIENCE - ICCS 2004, PROCEEDINGS, 2004, 3039 : 876 - 883
  • [9] A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection
    Valladao, Davi Michel
    Veiga, Alvaro
    Street, Alexandre
    COMPUTATIONAL ECONOMICS, 2018, 51 (04) : 1021 - 1032
  • [10] Stochastic Programming Approach for Portfolio Selection with Risk Control of WCVaR
    Gao, Jianwei
    Bian, Nianyi
    2008 7TH WORLD CONGRESS ON INTELLIGENT CONTROL AND AUTOMATION, VOLS 1-23, 2008, : 5637 - 5642
12345