A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming

doi:10.1080/07408170591008082

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	A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming
	Ji, XD ; Zhu, SS ; Wang, SY ; Zhang, SZ
	2005-10-01
发表期刊	IIE TRANSACTIONS
ISSN	0740-817X
卷号	37 期号:10 页码:957-969
摘要	A stochastic linear goal programming model for multistage portfolio management is proposed. The model takes into account both the investment goal and risk control at each stage. A scenario generation method is proposed that acts as the basis of the portfolio management model. In particular, by matching the moments and fitting the descriptive features of the asset returns, a linear programming model is used to generate the single-stage scenarios. Scenarios for multistage portfolio management are generated by incorporating this single-stage method with the time-series model for the asset returns. Meanwhile, no arbitrage opportunity exists in the proposed method. A real case is solved via the goal programming model and the scenario generation approach which demonstrates the effectiveness of the model. We also comment on some practical issues of the approach.
DOI	10.1080/07408170591008082
语种	英语
WOS研究方向	Engineering ; Operations Research & Management Science
WOS类目	Engineering, Industrial ; Operations Research & Management Science
WOS记录号	WOS:000232105300009
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2196
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, SY
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Hebei Normal Univ, Coll Math & Informat Sci, Shijiazhuang 050016, Hebei, Peoples R China 3.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Ji, XD,Zhu, SS,Wang, SY,et al. A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming[J]. IIE TRANSACTIONS,2005,37(10):957-969.
APA	Ji, XD,Zhu, SS,Wang, SY,&Zhang, SZ.(2005).A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming.IIE TRANSACTIONS,37(10),957-969.
MLA	Ji, XD,et al."A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming".IIE TRANSACTIONS 37.10(2005):957-969.