Towards Sequential Sampling Algorithms for Dynamic Portfolio Management
作者： Z. Chen , G. Consigli , M. A. H. Dempster , N. Hicks-Pedrón.
DOI: 10.1007/978-1-4615-5495-0_12
关键词:
摘要: This paper describes in detail the computations required to generate and solve large scale strategic financial portfolio management problems by sequential importance sampling methods. Data model generation processes are emphasized expected value of perfect information criteria under current development outlined.
springer.com
sci-hub.st 参考文章(25)
Jitka Dupacová, Multistage stochastic programs: The state-of-the-art and selected bibliography Kybernetika. ,vol. 31, pp. 151- 174 ,(1995)
H.I. Gassmann, J.R. Birge, S.W. Wallace, A.J. King, E. Gunn, M.A.H. Dempster, A Standard Input Format for Multiperiod Stochastic Linear Programs WP-87-118. ,(1987)
K. Frauendorfer, F. Härtel, M. F. Reiff, M. Schürle, SG-Portfolio Test Problems for Stochastic Multistage Linear Programming Operations Research Proceedings. pp. 102- 107 ,(1996) , 10.1007/978-3-642-80117-4_18
Giorgio Consigli, M.A.H. Dempster, Dynamic Stochastic Programming For Asset-liability Management Social Science Research Network. ,(1998) , 10.2139/SSRN.34780
M.A.H. Dempster, R.T. Thompson, EVPI-Based Importance Sampling Solution Procedures for Multistage Stochastic Linear Programmes on Parallel MIMD Architectures Social Science Research Network. ,(1997) , 10.2139/SSRN.37767
Pieter Klaassen, Stochastic programming models for interest-rate risk management Massachusetts Institute of Technology. ,(1994)
Fischer Black, Emanuel Derman, William Toy, A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options Financial Analysts Journal. ,vol. 46, pp. 33- 39 ,(1990) , 10.2469/FAJ.V46.N1.33
THOMAS S. Y. HO, SANG-BIN LEE, Term Structure Movements and Pricing Interest Rate Contingent Claims Journal of Finance. ,vol. 41, pp. 1011- 1029 ,(1986) , 10.1111/J.1540-6261.1986.TB02528.X
Stavros A. Zenios, Asset/liability management under uncertainty for fixed-income securities Annals of Operations Research. ,vol. 59, pp. 77- 97 ,(1995) , 10.1007/BF02031744
S. K. Park, K. W. Miller, Random number generators: good ones are hard to find Communications of The ACM. ,vol. 31, pp. 1192- 1201 ,(1988) , 10.1145/63039.63042