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Multistage Financial Planning Models: Integrating Stochastic Programs and Policy Simulators

  • John M. Mulvey
  • Woo Chang Kim
Chapter
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 150)

Abstract

This chapter reviews multistage financial planning models, with a focus on practical approaches for optimizing investors´ performance over time. We discuss two major frameworks for constructing financial planning models: (1) policy rule simulation and optimization and (2) multistage stochastic programming. We advocate an integrated approach, in which a stylized stochastic program helps the investor discover robust decision/policy rules. In the second stage, the policy optimizer compares policy rules as well as provides additional information about future investment performance. To illustrate benefits, we apply the dual strategy to the defined benefit pension plans in the USA

Keywords

Stochastic Program Policy Rule Momentum Strategy Investment Performance Dual Strategy 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of Operations Research and Financial EngineeringPrinceton UniversityPrincetonUSA
  2. 2.Department of Industrial and Systems EngineeringKorea Advanced Institute of Science and TechnologyDaejeonSouth Korea

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