The Stochastic Programming Extension of the Markowitz Approach
ISSN
1210-0552
Type
conference paper
Date Issued
1995-08-29
Author(s)
Abstract
The stochastic programming methodology applied to the Markowitz approach yields a multistage mean-variance model. The structural properties of the efficient portfolios and the efficient frontiers are derived taking into consideration stochastic dynamic evolvements of the variance-covariance matrices and expected rates of returns over a finite, discrete planning horizon. An aggregation principle is introduced which allows for solving a deterministic convex quadratic single period equivalence program.
Language
English
HSG Classification
not classified
Refereed
No
Book title
Neural Network World - International Journal on Neural and Mass-Parallel computing and Information Systems
Publisher
Institute of Information and Computer Technology ASCR; Faculty of Transport, Czech Polytechnic University, Prague
Publisher place
Prag, CZ
Start page
449
End page
460
Pages
12
Event Title
PASE'95 5th International Workshop on Parallel Applications in Statistics and Economics: Non-Linear Data Analysis
Event Location
Trier/Mainz, DE
Subject(s)
Division(s)
Eprints ID
7222