A Dynamic Stochastic Network Model for Asset Allocation Problem
Computational Sciences and Optimization, 2009. CSO 2009. International Joint Conference（2009）
摘要
Asset allocation is an important decision problem in financial planning. In this paper, we study the multistage dynamic asset allocation problem in which an investor is allowed to reallocate its wealth among a set of assets over finite discrete decision points and the stochastic return rates of the assets follow a Markov chain with nonstationary transition probabilities. The objective is to maximize the utility of the wealth at the end of the planning horizon where the utility of the wealth follows a general piecewise linear and concave function. Transaction costs are considered. We formulate the problem with a dynamic stochastic net-work model which has potential to introduce a computationally tractable tool to deal with the dynamic asset allocation problem of large number of assets and long planning horizon.
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关键词
nancial planning,multistage dynamic asset allocation problem,planning horizon,nonstationary transition probabilities,resource allocation,dynamic stochastic network model,planning,dynamic asset allocation problem,finite discrete decision point,general piecewise linear function,asset allocation,markov chain,dynamic stochastic net-work model,financial management,financial planning,concave function,nite discrete decision point,asset allocation problem,markov processes,important decision problem,long planning horizon,multistage dynamic asset allocation,stochastic return rate,stochastic processes,distributed computing,transaction cost,linear programming,computational modeling,decision problem,transition probability,uncertainty,computer networks,resource management,piecewise linear,memory management,sun
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