Linearly Adjustable International Portfolios

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.


Editor(s):
Simos, T. E.
Psihoyios, G.
Tsitouras, Ch.
Published in:
AIP Conference Proceedings, 1, 338-341
Presented at:
ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics, Rhodes, Greece, September 19–25, 2010
Year:
2010
Publisher:
American Institute of Physics
ISSN:
0094-243X
Keywords:
Laboratories:




 Record created 2014-01-29, last modified 2018-03-17

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