6533b859fe1ef96bd12b756d

RESEARCH PRODUCT

A Portfolio Problem with Uncertainty

Vicente A. SanchisManuel MocholíRamón Sala

subject

Matching (statistics)Mathematical optimizationSuperhedging priceComputer scienceFinancial economicsMerton's portfolio problemPortfolioCash flowPortfolio optimizationBlack–Litterman modelModern portfolio theory

description

In this paper we present two models for cash flow matching with an uncertain level of payments at each due date. To solve the problem of minimising the initial investment we use the scenario method proposed by Dembo, and the robust optimisation method proposed by Mulvey et al. We unify these optimisation methods in a general co-ordinated model that guarantees a match under every scenario. This general model is also a multi-objective programming problem. We illustrate this methodology in a problem with several scenarios.

yearjournalcountryeditionlanguage
2000-01-01
https://doi.org/10.1007/978-3-642-57652-2_19