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conference paper

Linearly Adjustable International Portfolios

Fonseca, Raquel
•
Kuhn, Daniel  
•
Rustem, Berç
Simos, T. E.
•
Psihoyios, G.
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2010
AIP Conference Proceedings
ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics

We present an approach to multi‐stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solutions however can become intractable as the number of stages increases. By restricting the space of decision policies to linear rules, we obtain a conservative tractable approximation to the original problem. Local asset prices and foreign exchange rates are modelled separately, which allows for a direct measure of their impact on the final portfolio value.

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Type
conference paper
DOI
10.1063/1.3498469
Author(s)
Fonseca, Raquel
Kuhn, Daniel  
Rustem, Berç
Editors
Simos, T. E.
•
Psihoyios, G.
•
Tsitouras, Ch.
Date Issued

2010

Publisher

American Institute of Physics

Published in
AIP Conference Proceedings
Volume

1

Start page

338

End page

341

Subjects

Portfolio Optimization

•

Robust Optimization

•

Stochastic Programming

•

Second Order Cone Programming

Editorial or Peer reviewed

NON-REVIEWED

Written at

EPFL

EPFL units
RAO  
Event nameEvent placeEvent date
ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics

Rhodes, Greece

September 19–25, 2010

Available on Infoscience
January 29, 2014
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/100237
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