Show simple item record

2002-01-29Buch DOI: 10.18452/8270
Capital growth with security
dc.contributor.authorMacLean, Leonard C.
dc.contributor.authorSanegre, Rafael
dc.contributor.authorZhao, Yonggan
dc.contributor.authorZiemba, William T.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:47:23Z
dc.date.available2017-06-16T19:47:23Z
dc.date.created2006-02-17
dc.date.issued2002-01-29
dc.date.submitted2002-02-04
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8922
dc.description.abstractThis 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subject.ddc510 Mathematik
dc.titleCapital growth with security
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10058388
dc.identifier.doihttp://dx.doi.org/10.18452/8270
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages20
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2002
local.edoc.container-issue6
local.edoc.container-erstkatid2936317-2

Show simple item record