A Dynamic Stochastic Network Model for Asset Allocation Problem
Asset allocation is an important decision problem in financial planning. In this paper, we study the multistage dynamic asset allocation problem in which an investor is allowed to reallocate its wealth among a set of assets over finite discrete decision points and the stochastic return rates of the assets follow a Markov chain with nonstationary transition probabilities. The objective is to maximize the utility of the wealth at the end of the planning horizon where the utility of the wealth follows a general piecewise linear and concave function. Transaction costs are considered. We formulate the problem with a dynamic stochastic network model which has potential to introduce a computationally tractable tool to deal with the dynamic asset allocation problem of large number of assets and long planning horizon.
Haiqing Song Huei-Chuen Huang Ning Shi K.K.Lai
Lingnan College Sun Yat-sen University Guangzhou 510275, P.R.China Dept.of Industrial & Systems Engineering National University of Singapore Singapore School of Business Sun Yat-Sen University Guangzhou 510275, P.R.China Faculty of Business City University of Hong Kong Hong Kong, P.R.China
国际会议
三亚
英文
1647-1651
2009-04-24（万方平台首次上网日期，不代表论文的发表时间）