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Towards Sequential Sampling Algorithms for Dynamic Portfolio Management

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Operational Tools in the Management of Financial Risks

Abstract

This paper describes in detail the computations required to generate and solve large scale strategic financial portfolio management problems by sequential importance sampling methods. Data and model generation processes are emphasized and expected value of perfect information importance sampling criteria under current development outlined.

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Author information

Authors and Affiliations

  1. Finance Research Group, Judge Institute of Management Studies, University of Cambridge, USA

    Z. Chen, G. Consigli, M. A. H. Dempster & N. Hicks-Pedrón.

Authors
  1. Z. Chen
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  2. G. Consigli
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  3. M. A. H. Dempster
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  4. N. Hicks-Pedrón.
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Editor information

Editors and Affiliations

  1. Dept. of Production Engineering and Management Decision Support Systems Laboratory, Technical University of Crete, University Campus, 73100, Chania, Greece

    Constantin Zopounidis

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© 1998 Springer Science+Business Media New York

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Chen, Z., Consigli, G., Dempster, M.A.H., Hicks-Pedrón., N. (1998). Towards Sequential Sampling Algorithms for Dynamic Portfolio Management. In: Zopounidis, C. (eds) Operational Tools in the Management of Financial Risks. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5495-0_12

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  • DOI: https://doi.org/10.1007/978-1-4615-5495-0_12

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-1-4613-7510-4

  • Online ISBN: 978-1-4615-5495-0

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