Multi-Stage Optimization For Long-Term Investors

@inproceedings{Mulvey2002MultiStageOF,
  title={Multi-Stage Optimization For Long-Term Investors},
  author={J. Mulvey},
  year={2002}
}
AbstractMulti-stage simulation and optimization models are effective for solving long-term financial planning problems. Prominent examples include: asset-liability management for pension plans, integrated risk management for insurance companies, and long-term planning for individuals. Several applications will be briefly mentioned.A multi-stage framework provides advantages over single-period myopic approaches. First, the investor gains an understanding of the risks that a long-term goal will… Expand
Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems

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