Matches in SemOpenAlex for { <https://semopenalex.org/work/W2073819664> ?p ?o ?g. }
Showing items 1 to 89 of
89
with 100 items per page.
- W2073819664 endingPage "390" @default.
- W2073819664 startingPage "365" @default.
- W2073819664 abstract "Institutional investors manage their strategic asset mix over time to achieve favorable returns subject to various uncertainties, policy and legal constraints, and other requirements. One may use a multi-period portfolio optimization model in order to determine an optimal asset mix. The concept of scenarios is typically employed for modeling random parameters in a multi-period stochastic programming model, and scenarios are constructed via a tree structure. Recently, an alternative stochastic programming model with simulated paths was proposed by Hibiki [Hibiki, N., 2001b. A hybrid simulation/tree multi-period stochastic programming model for optimal asset allocation. In: Takahashi, H. (Ed.), The Japanese Association of Financial Econometrics and Engineering. JAFEE Journal 89–119 (in Japanese); Hibiki, N., 2003. A hybrid simulation/tree stochastic optimization model for dynamic asset allocation. In: Scherer, B. (Ed.), Asset and Liability Management Tools: A Handbook for Best Practice, Risk Books, pp. 269–294], and it is called a hybrid model. The advantage of the simulated path structure compared to the tree structure is to give a better accuracy to describe uncertainties of asset returns. In this paper, we compare the two types of multi-period stochastic optimization models, and clarify that the hybrid model can evaluate and control risk better than the scenario tree model using some numerical tests. According to the numerical results, an efficient frontier of the hybrid model with the fixed-proportion strategy dominates that of the scenario tree model when we evaluate them on simulated paths. Moreover, optimal solutions of the hybrid model are more appropriate than those of the scenario tree model." @default.
- W2073819664 created "2016-06-24" @default.
- W2073819664 creator A5016705582 @default.
- W2073819664 date "2006-02-01" @default.
- W2073819664 modified "2023-10-02" @default.
- W2073819664 title "Multi-period stochastic optimization models for dynamic asset allocation" @default.
- W2073819664 cites W14003584 @default.
- W2073819664 cites W1553000336 @default.
- W2073819664 cites W1800955719 @default.
- W2073819664 cites W2120991802 @default.
- W2073819664 cites W2138959811 @default.
- W2073819664 cites W2171185835 @default.
- W2073819664 cites W2804977193 @default.
- W2073819664 cites W4376848490 @default.
- W2073819664 doi "https://doi.org/10.1016/j.jbankfin.2005.04.027" @default.
- W2073819664 hasPublicationYear "2006" @default.
- W2073819664 type Work @default.
- W2073819664 sameAs 2073819664 @default.
- W2073819664 citedByCount "52" @default.
- W2073819664 countsByYear W20738196642012 @default.
- W2073819664 countsByYear W20738196642013 @default.
- W2073819664 countsByYear W20738196642014 @default.
- W2073819664 countsByYear W20738196642015 @default.
- W2073819664 countsByYear W20738196642016 @default.
- W2073819664 countsByYear W20738196642017 @default.
- W2073819664 countsByYear W20738196642018 @default.
- W2073819664 countsByYear W20738196642019 @default.
- W2073819664 countsByYear W20738196642020 @default.
- W2073819664 countsByYear W20738196642022 @default.
- W2073819664 countsByYear W20738196642023 @default.
- W2073819664 crossrefType "journal-article" @default.
- W2073819664 hasAuthorship W2073819664A5016705582 @default.
- W2073819664 hasConcept C10138342 @default.
- W2073819664 hasConcept C113174947 @default.
- W2073819664 hasConcept C117219021 @default.
- W2073819664 hasConcept C126255220 @default.
- W2073819664 hasConcept C127491075 @default.
- W2073819664 hasConcept C134306372 @default.
- W2073819664 hasConcept C137631369 @default.
- W2073819664 hasConcept C139819358 @default.
- W2073819664 hasConcept C149782125 @default.
- W2073819664 hasConcept C162324750 @default.
- W2073819664 hasConcept C194387892 @default.
- W2073819664 hasConcept C2780821815 @default.
- W2073819664 hasConcept C33923547 @default.
- W2073819664 hasConcept C37404715 @default.
- W2073819664 hasConcept C38652104 @default.
- W2073819664 hasConcept C41008148 @default.
- W2073819664 hasConcept C42475967 @default.
- W2073819664 hasConcept C76178495 @default.
- W2073819664 hasConceptScore W2073819664C10138342 @default.
- W2073819664 hasConceptScore W2073819664C113174947 @default.
- W2073819664 hasConceptScore W2073819664C117219021 @default.
- W2073819664 hasConceptScore W2073819664C126255220 @default.
- W2073819664 hasConceptScore W2073819664C127491075 @default.
- W2073819664 hasConceptScore W2073819664C134306372 @default.
- W2073819664 hasConceptScore W2073819664C137631369 @default.
- W2073819664 hasConceptScore W2073819664C139819358 @default.
- W2073819664 hasConceptScore W2073819664C149782125 @default.
- W2073819664 hasConceptScore W2073819664C162324750 @default.
- W2073819664 hasConceptScore W2073819664C194387892 @default.
- W2073819664 hasConceptScore W2073819664C2780821815 @default.
- W2073819664 hasConceptScore W2073819664C33923547 @default.
- W2073819664 hasConceptScore W2073819664C37404715 @default.
- W2073819664 hasConceptScore W2073819664C38652104 @default.
- W2073819664 hasConceptScore W2073819664C41008148 @default.
- W2073819664 hasConceptScore W2073819664C42475967 @default.
- W2073819664 hasConceptScore W2073819664C76178495 @default.
- W2073819664 hasIssue "2" @default.
- W2073819664 hasLocation W20738196641 @default.
- W2073819664 hasOpenAccess W2073819664 @default.
- W2073819664 hasPrimaryLocation W20738196641 @default.
- W2073819664 hasRelatedWork W1228498375 @default.
- W2073819664 hasRelatedWork W1788374662 @default.
- W2073819664 hasRelatedWork W2019710194 @default.
- W2073819664 hasRelatedWork W2036340228 @default.
- W2073819664 hasRelatedWork W2073819664 @default.
- W2073819664 hasRelatedWork W2162464550 @default.
- W2073819664 hasRelatedWork W2186848692 @default.
- W2073819664 hasRelatedWork W2603686330 @default.
- W2073819664 hasRelatedWork W2804977193 @default.
- W2073819664 hasRelatedWork W3195637780 @default.
- W2073819664 hasVolume "30" @default.
- W2073819664 isParatext "false" @default.
- W2073819664 isRetracted "false" @default.
- W2073819664 magId "2073819664" @default.
- W2073819664 workType "article" @default.