☆A stochastic linear goal programming approach to multistage portfolio management based on scenario

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1、IIETransactions(2005)37,957–969Copyright
C“IIE”ISSN:0740-817Xprint/1545-8830onlineDOI:10.1080/07408170591008082AstochasticlineargoalprogrammingapproachtomultistageportfoliomanagementbasedonscenariogenerationvialinearprogrammingXIAODONGJI1,SHUSHANGZHU2,SHOUYANGWANG3,∗andSHUZHONGZHANG41CollegeofMathem

2、aticsandInformationScience,HebeiNormalUniversity,Shijiazhuang,Hebei050016,ChinaE-mail:jxdong1972@yahoo.com.cn2DepartmentofManagementScience,SchoolofManagement,FudanUniversity,Shanghai200433,ChinaE-mail:sszhu@fudan.edu.cn3InstituteofSystemsScience,AcademyofMathematicsandSystemsScience,ChineseAcademyo

3、fSciences,Beijing100080,ChinaE-mail:swang@mail.iss.ac.cn4DepartmentofSystemsEngineeringandEngineeringManagement,TheChineseUniversityofHongKong,Shatin,HongKongE-mail:zhang@se.cuhk.edu.hkAstochasticlineargoalprogrammingmodelformultistageportfoliomanagementisproposed.Themodeltakesintoaccountboththeinve

4、stmentgoalandriskcontrolateachstage.Ascenariogenerationmethodisproposedthatactsasthebasisoftheport-foliomanagementmodel.Inparticular,bymatchingthemomentsandfittingthedescriptivefeaturesoftheassetreturns,alinearprogrammingmodelisusedtogeneratethesingle-stagescenarios.Scenariosformultistageportfolioman

5、agementaregeneratedbyincorporatingthissingle-stagemethodwiththetime-seriesmodelfortheassetreturns.Meanwhile,noarbitrageopportunityexistsintheproposedmethod.Arealcaseissolvedviathegoalprogrammingmodelandthescenariogenerationapproachwhichdemonstratestheeffectivenessofthemodel.Wealsocommentonsomepracti

6、calissuesoftheapproach.1.Introductionsionfunds(Dert,1995;Mulvey,1996);and(ii)portfoliomanagementforfixed-incomebonds(Zeniosetal.,1998).Inalong-terminvestment,aninvestorusuallyadjustsZiembaandMulvey(1998)surveyedthestate-of-the-artofhis/herportfoliointhelightofprevailingcircumstancesac-thetheoryandapp

7、licationsinthisfield.Allthesepracticalcordingtohis/herriskpreference.Thisisreferredtoasady-applicationscouldnotbesolvedtwodecadesagoduetonamicportfolioselectionpolicy.Manyauthorshaveconsid-hardwareands