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Robust Modeling of Multi-Stage Portfolio Problems

  • Aharon Ben-Tal
  • Tamar Margalit
  • Arkadi Nemirovski
Part of the Applied Optimization book series (APOP, volume 33)

Abstract

In the paper, we develop, discuss and illustrate by simulated numerical results a new model of multi-stage asset allocation problem. The model is given by a new methodology for optimization under uncertainty — the Robust Counterpart approach.

Keywords

Stochastic Program Robust Counterpart Rolling Horizon Portfolio Problem Multistage Stochastic Program 
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References

  1. [1]
    Ben-Tal, A., A. Nemirovski. “Robust solutions to uncertain linear programs,” accepted to Operations Research Letters, 1996.Google Scholar
  2. [2]
    Ben-Tal, A., and A. Nemirovski. (1997). “Robust Convex Optimization,” Mathematics of Operations Research, November 1998.Google Scholar
  3. [3]
    Dantzig, G.B., and G. Infanger. “Multi-stage stochastic linear programs for portfolio optimization,” Annals of Operations Research v. 45, 59–76, 1993.MathSciNetMATHCrossRefGoogle Scholar
  4. [4]
    Lemarechal, C., A. Nemirovski, and Yu. Nesterov. “New variants of bundle methods,” Mathematical Programming Series B, v. 69 No. 1, 111–148, 1995.MATHCrossRefGoogle Scholar

Copyright information

© Springer Science+Business Media Dordrecht 2000

Authors and Affiliations

  • Aharon Ben-Tal
  • Tamar Margalit
  • Arkadi Nemirovski

There are no affiliations available

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