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SPEPS Preprint

Author(s): Leonard C. MacLean, Dalhousie University, Halifax
Rafael Sanegre, Meta4, Madrid
Yonggan Zhao, Nanyang Technological University, Singapore
William T. Ziemba, University of British Columbia, Vancouver
Title: Capital growth with security
Date of Acceptance: 29.01.2002
Submission Date: 04.02.2002
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10058388)
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Abstract (eng):
This paper discusses the allocation of capital over time with several risky assets. The capital growth log utility approach is used with conditions requiring that specific goals are achieved with high probability. The stochastic optimization model uses a disjunctive form for the probabilistic constraints, which identifies an outer problem of choosing an optimal set of scenarios, and an inner (conditional) problem of finding the optimal investment decisions for a given scenarios set. The multiperiod inner problem is composed of a sequence of conditional one period problems. The theory is illustrated for the dynamic allocation of wealth in stocks, bonds and cash equivalents.
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