Simulation-based parametric optimization for long-term asset allocation using behavioral utilities

Applied Mathematical Modelling

Volumn 29, Issue 4, 2005, Pages 309-320

  Adachi, Jeff ^a   Gupta, Aparna ^b  

^a Cyra Technologies   (United States)

^b RENSSELAER POLYTECHNIC INSTITUTE   (United States)

Author keywords

Long term asset allocation; Parametric approximation; Simulation based optimization

Indexed keywords

COMPUTER SIMULATION; DECISION MAKING; MATHEMATICAL MODELS; PARAMETER ESTIMATION; STRATEGIC PLANNING;

ASSET ALLOCATION; BEHAVIORAL UTILITIES; FINANCIAL PLANNING; PARAMETRIC OPTIMIZATION;

INVESTMENTS;

MATHEMATICAL ANALYSIS;

EID: 13444279925     PISSN: 0307904X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apm.2004.07.011     Document Type: Article

References (25)

1. J.M. Adachi Combining Stochastic Linear Programming and Dynamic Programming to Solve Multiperiod Portfolio Problems Ph.D. Thesis, Department of Operations Research, Stanford University, 1996
2. G.M. Angeletos D. Laibson A. Repetto J. Tobacman S. Weinberg The hyperbolic consumption model: Calibration simulation and empirical evaluation J. Econ. Perspect. 15 2001 47-68
3. R. Barkan J. Busemeyer Modeling dynamic inconsistency with a dynamic reference point J. Behav. Decis. Mak. 16 2003 1-21
4. D.R. Carino T. Kent D.H. Meyers C. Stacy M. Sylvanus A.L. Turner K. Watanabe W.T. Ziemba The Russell-Yasuda Kasai model: An asset/liability model for a Japanese insurance company using multistage stochastic programming Interfaces 24 1994 29-49
5. G.B. Dantzig G. Infanger Multi-stage stochastic linear programs for portfolio optimization Ann. Oper. Res. 45 1993 59-76
6. P. Fishburn Mean-risk analysis with risk associated with below-target returns Am. Econ. Rev. 67 1977 116-126
7. M. Friedman L.J. Savage The utility analysis of choices involving risk J. Polit. Econ. 56 1948 279-304
8. A. Gupta Optimum Asset Allocation with Behavioral Utilities: A Plan for Acquiring and Consuming Retirement Funds Ph.D. Thesis, Scientific Computing and Computational Mathematics Program, Stanford University, 2000
9. A. Gupta L. Li Behavioral modeling in optimal investment-consumption decisions for long-term financial planning in: The Proceedings of the International Conference on Computational Intellegence in Economics and Finance, North Carolina, 2003
10. A. Gupta W. Murray A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities Ann. Oper. Res. in press
11. A. Gupta W. Murray How to spend and invest retirement savings Ann. Oper. Res. 2003 205-224
12. M.P. Keane K.I. Wolpin The solution and estimation of discrete choice dynamic programming models by simulation and interpolation: Monte Carlo evidence Rev. Econ. Stat. 76 1994 648-672
13. H. Konno Piecewise linear risk function and portfolio optimization J. Oper. Res. Soc. Jpn. 33 1990 139-156
14. H. Markowitz Portfolio selection J. Finan. 7 1952 77-91
15. J. Mossin Optimal multiperiod portfolio policies J. Bus. 41 1968 215-229
16. J. Mulvey A. Ruszczynski A new scenario decomposition method for large-scale stochastic optimization Oper. Res. 43 1995 447-490
17. J. Mulvey H. Vladimirou Stochastic network optimization models for investment planning Ann. Oper. Res. 20 1989 187-217
18. A.F. Perold W.F. Sharpe Dynamic strategies for asset allocation Financ. Analysts J. 51 1988 149-160
19. R. Rockafellar R.J-B. Wets Scenarios and policy aggregation in optimization under uncertainty Math. Oper. Res. 16 1991 119-147
20. H. Simon A behavioral model of rational choice Quart. J. Econ. 69 1955 99-118
21. B.K. Stone A general class of three-parameter risk measures J. Financ. 28 1973 675-685
22. A. Tversky Additivity utility an subjective probability J. Math. Psychol. 4 1967 175-202
23. A. Tversky D. Kahneman Loss aversion in riskless choice: A reference-dependent model Quart. J. Econ. 106 1991 1039-1061
24. A. Tversky D. Kahneman Advances in prospect theory: Cumulative representation of uncertainty J. Risk Uncertainty 5 1992 297-323
25. K.J. Worzel C. Vassiadou-Zeniou S.A. Zenios Integrated simulation and optimization models for tracking indices of fixed-income securities Oper. Res. 42 1994 223-233