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Published in 2020 at "Annals of Operations Research"
DOI: 10.1007/s10479-019-03253-8
Abstract: We analyse an optimal goal-based households’ asset-liability management problem characterised by a real estate target and a retirement goal over a long-term planning horizon. The problem is formulated as a multistage stochastic program and we…
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Keywords:
stochastic dominance;
dominance;
term individual;
long term ... See more keywords
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Published in 2020 at "Journal of Industrial and Management Optimization"
DOI: 10.3934/jimo.2019071
Abstract: A portfolio optimization model with relaxed second order stochastic dominance (SSD) constraints is presented. The proposed model uses Conditional Value at Risk (CVaR) constraints at probability level \begin{document}$ \beta\in(0,1) $\end{document} to relax SSD constraints. The…
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Keywords:
optimization;
document;
portfolio optimization;
value ... See more keywords