Stochastic Network Programming for Financial Planning Problems

Mulvey, John M.; Vladimirou, Hercules

doi:10.1287/mnsc.38.11.1642

Cited by 227 publications

(86 citation statements)

References 45 publications

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“…interest rates, currency fluctuations, stock prices) can be correlated in a very complex way. This technique is widely used in financial asset allocation problems for designing low-risk portfolios (Mulvey & Vladimirou (1992), Mulvey (2001)), and a variety of specialized algorithms have been designed to help solve these problems (Lustig et al (1991), Mulvey & Ruszczyński (1995), Mulvey & Ruszczyński (1991)). …”

Section: Scenario Methodsmentioning

confidence: 99%

Approximate Dynamic Programming for High-Dimensional Resource Allocation Problems

Powell

George

Bouzaiene-Ayari

et al. 2009

Handbook of Learning and Approximate Dynamic Programming

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The allocation of human and physical resources over time is a fundamental problem that is central to management science. In this paper we review a mathematical model of dynamic resource allocation that is motivated by problems in transportation and logistics. In principle, problems of this type can be solved via dynamic programming. However, three "curses of dimensionality" give rise to intractable computational requirements. We present computationally efficient approximate dynamic programming algorithms developed by the first author and collaborators for application to problems in freight transportation. We discuss how these algorithms address the three curses of dimensionality and how they relate to other independent threads of research on mathematical programming and approximate dynamic programming.

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Section: Scenario Methodsmentioning

confidence: 99%

Approximate Dynamic Programming for High-Dimensional Resource Allocation Problems

Powell

George

Bouzaiene-Ayari

et al. 2009

Handbook of Learning and Approximate Dynamic Programming

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“…However, it is not clear beforehand if a daily or weekly (or monthly) revision is the most effective. In dynamic multi-period stochastic programming models for asset allocation the portfolio rebalancing is carried out as frequently as optimally necessary (Zenios et al 1998;Mulvey and Vladimirou 1992), but in a single-period model the length of the time period has to be determined a priori and there is no good way for doing so.…”

Section: Active Portfolio Managementmentioning

confidence: 99%

Portfolio diversification in the sovereign credit swap markets

Consiglio¹,

Lotfi

Zenios

2017

Ann Oper Res

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We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to be diversified. However, we identify regime switching in the times series of CDS spreads and spread returns, and the optimal diversified strategies can be regime dependent. The developed models trade off the CVaR risk measure against expected return, consistently with the statistical properties of spreads. We consider three investment strategies suited for different CDS market participants: for investors with long positions, speculators that hold uncovered long and short positions, and hedgers with covered long and short exposures. We use the models to illustrate that diversification pays in the CDS market. The models are also tested for active portfolio management in Eurozone core and periphery, and Central, Eastern and South-Eastern Europe countries, and the optimized portfolio results outperform the broad S&P/ISDA Eurozone Developed Nation Sovereign CDS index. The paper concludes by identifying open questions in developing integrated enterprise-wide risk management models using CDS.

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“…Our approach builds on previous research. [1] used the stochastic programming technique of dynamic Programming in financial asset allocation problems for designing low-risk portfolios. [2] proposed the idea of using a parsimonious sufficient static in an application of approximate dynamic programming to inventtory management.…”

Section: Introductionmentioning

confidence: 99%

On a Dynamic Optimization Technique for Resource Allocation Problems in a Production Company

Nwozo¹,

Nkeki²

2012

AJOR

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This paper examines the allocation of resource to different tasks in a production company. The company produces the same kinds of goods and want to allocate m number of tasks to 50 number of machines. These machines are subject to breakdown. It is expected that the breakdown machines will be repaired and put into operation. From past records, the company estimated the profit the machines will generate from the various tasks at the first stage of the operation. Also, the company estimated the probability of breakdown of the machines for performing each of the tasks. The aim of this paper is to determine the expected maximize profit that will accrue to the company over T horizon. The profit that will accrued to the company was obtained as 4, N 571,100, 000 after 48 weeks of operation. At the infinty horizon, the profit was obtained to be 20, N 491, 000, 000 . It was found that adequate planning, prompt and effective maintainance can enhance the profitability of the company.

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Stochastic Network Programming for Financial Planning Problems

Cited by 227 publications

References 45 publications

Approximate Dynamic Programming for High-Dimensional Resource Allocation Problems

Approximate Dynamic Programming for High-Dimensional Resource Allocation Problems

Portfolio diversification in the sovereign credit swap markets

On a Dynamic Optimization Technique for Resource Allocation Problems in a Production Company

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