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conference paper
Linearly Adjustable International Portfolios
2010
AIP Conference Proceedings
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.
Type
conference paper
Authors
Editors
Simos, T. E.
•
Psihoyios, G.
•
Tsitouras, Ch.
Publication date
2010
Publisher
Published in
AIP Conference Proceedings
Volume
1
Start page
338
End page
341
Peer reviewed
NON-REVIEWED
EPFL units
Event name | Event place | Event date |
Rhodes, Greece | September 19–25, 2010 | |
Available on Infoscience
January 29, 2014
Use this identifier to reference this record