Abstract
A multi-stage model is proposed for the general problem of allocating assets to broad investment categories. The framework encompasses a wide variety of financial planning problems. Efficient solution algorithms are described for solving the resulting large-scale optimization problems.
This research was supported in part by Towers Perrin and by the U.S. NSF (CCR-9102660).
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© 1994 Physica-Verlag Heidelberg
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Mulvey, J.M. (1994). Multi-Stage Financial Planning Systems. In: D’Ecclesia, R.L., Zenios, S.A. (eds) Operations Research Models in Quantitative Finance. Contributions to Management Science. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-46957-2_2
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DOI: https://doi.org/10.1007/978-3-642-46957-2_2
Publisher Name: Physica-Verlag HD
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