STOCHASTIC NETWORK PROGRAMMING FOR FINANCIAL-PLANNING PROBLEMS

被引：144

作者：

MULVEY, JM ^{[1
]}

VLADIMIROU, H ^{[1
]}

机构：

[1] IBM CORP, THOMAS J WATSON RES CTR, DIV RES, YORKTOWN HTS, NY 10598 USA

来源：

MANAGEMENT SCIENCE | 1992年 / 38卷 / 11期

关键词：

FINANCIAL PLANNING; STOCHASTIC PROGRAMMING; GENERALIZED NETWORKS; SCENARIO ANALYSIS;

D O I：

10.1287/mnsc.38.11.1642

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading arbitrage. Despite the large size of the resulting stochastic programs, the network structure can be exploited within the solution strategy giving rise to efficient implementations. Empirical results are presented indicating the benefits of the stochastic network approach for the asset allocation case.

引用

页码：1642 / 1664

页数：23

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