BOUND ESTIMATION OF MULTISTAGE ASSET ALLOCATION BASED ON MCMC

摘要：

Stochastic programming models in multistage asset allocation almost always require the calculation of some sort of expectation in the form of integral and its optimization, this paper is to provide a numerical solution of multidimensional integrals via Markov Chain Monte Carlo (MCMC) integration. The method proposed in this paper can alleviate the major drawback of multistage stochastic programming, i.e. the exponential growth of scenarios. The numerical simulation support our view.

关键词： Stochastic programming MCMC asset allocation bound

作者: XIAO-TAO ZHANG CUI-YU LI

作者单位: School of Management, Tianjin University, Tianjin 300072, China School of Textiles, Tianjin Polytechnic University, Tianjin 300160, China

会议类型: 国际会议

会议名称: 2008 International Conference on Machine Learning and Cybernetics(2008机器学习与控制论国际会议)

会议地点: 昆明

会议语种:英文

页码: 1178-1182

在线出版日期: 2008-07-12（万方平台首次上网日期，不代表论文的发表时间）