STOCHASTIC NETWORK PROGRAMMING FOR FINANCIAL-PLANNING PROBLEMS

• 成果类型: Article
• 署名作者: MULVEY, JM; VLADIMIROU, H
• 署名单位: International Business Machines (IBM); IBM USA
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.38.11.1642
• 发表日期: 1992
• 页码: 1642-1664
• 关键词: FINANCIAL PLANNING; Stochastic Programming; generalized networks; SCENARIO ANALYSIS

摘要

Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading arbitrage. Despite the large size of the resulting stochastic programs, the network structure can be exploited within the solution strategy giving rise to efficient implementations. Empirical results are presented indicating the benefits of the stochastic network approach for the asset allocation case.