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Multi-period stochastic optimization models for dynamic asset allocation

✍ Scribed by Norio Hibiki


Book ID
116614660
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
657 KB
Volume
30
Category
Article
ISSN
0378-4266

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Based on the dynamic programming method, by the use of the constraints on VaR, laws, regulations, and operation, a multiperiod dynamic portfolio optimal model for banks is successfully developed with the objective of maximizing the portfolio's yield. The characteristics and innovations of this paper