Multistage risk-averse asset allocation with transaction costs

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10125025" target="_blank" >RIV/00216208:11320/12:10125025 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Multistage risk-averse asset allocation with transaction costs
Original language description
This paper deals with asset allocation problems formulated as multistage stochastic programming models. Dynamic models allow rebalancing the portfolio multiple times before the final investment horizon is reached. The CVaR risk measure is used for its favorable properties, and time consistent model is developed. The stock prices are assumed to be interstage independent and to follow lognormal distribution. The stochastic dual dynamic programming algorithm is then applied to solve the presented models. An extensive numerical study based on the data from Prague Stock Exchange compares the results obtained from static two stage models with the results from dynamic models having multiple stages. Both cases, with or without the transaction costs, are considered.
Czech name
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Czech description
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Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics 2012 Proceedings
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
455-460
Publisher name
Silesian University in Opava
Place of publication
Karviná
Event location
Karviná
Event date
Sep 11, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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