A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation

Mathematical Programming, Series B

Volumn 89, Issue 2, 2001, Pages 293-309

  Zhao, Yonggan ^a   Ziemba, William T ^b  

^a NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Asset liability management; Dynamic asset allocation; Options; Portfolio insurance; Sharpe ratio; Stochastic programming; Transaction costs; Worst case payoff

Indexed keywords

EID: 0142005894     PISSN: 00255610     EISSN: None     Source Type: Journal    
DOI: 10.1007/PL00011400     Document Type: Article

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