Abstract
In the paper, we develop, discuss and illustrate by simulated numerical results a new model of multi-stage asset allocation problem. The model is given by a new methodology for optimization under uncertainty — the Robust Counterpart approach.
Partially funded by the Fund for the Promotion of Research at Technion, the G.I.F. contract No. I-0455-214.06/95 and the Israel Ministry of Science grant # 9636-1-96
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
Ben-Tal, A., A. Nemirovski. “Robust solutions to uncertain linear programs,” accepted to Operations Research Letters, 1996.
Ben-Tal, A., and A. Nemirovski. (1997). “Robust Convex Optimization,” Mathematics of Operations Research, November 1998.
Dantzig, G.B., and G. Infanger. “Multi-stage stochastic linear programs for portfolio optimization,” Annals of Operations Research v. 45, 59–76, 1993.
Lemarechal, C., A. Nemirovski, and Yu. Nesterov. “New variants of bundle methods,” Mathematical Programming Series B, v. 69 No. 1, 111–148, 1995.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2000 Springer Science+Business Media Dordrecht
About this chapter
Cite this chapter
Ben-Tal, A., Margalit, T., Nemirovski, A. (2000). Robust Modeling of Multi-Stage Portfolio Problems. In: Frenk, H., Roos, K., Terlaky, T., Zhang, S. (eds) High Performance Optimization. Applied Optimization, vol 33. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-3216-0_12
Download citation
DOI: https://doi.org/10.1007/978-1-4757-3216-0_12
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4419-4819-9
Online ISBN: 978-1-4757-3216-0
eBook Packages: Springer Book Archive