Search results for "Black–Litterman model"

showing 3 items of 3 documents

Scenario optimization asset and liability modelling for individual investors

2006

We develop a scenario optimization model for asset and liability management of individual investors. The individual has a given level of initial wealth and a target goal to be reached within some time horizon. The individual must determine an asset allocation strategy so that the portfolio growth rate will be sufficient to reach the target. A scenario optimization model is formulated which maximizes the upside potential of the portfolio, with limits on the downside risk. Both upside and downside are measured vis- `a-vis the goal. The stochastic behavior of asset returns is captured through bootstrap simulation, and the simulation is embedded in the model to determine the optimal portfolio. …

Application portfolio managementComputer scienceLiabilityDownside riskGeneral Decision SciencesAsset allocationAsset and liability managementTime horizonManagement Science and Operations ResearchAsset returnBlack–Litterman modelMicroeconomicsReplicating portfolioPortfolioCapital asset pricing modelPost-modern portfolio theoryPortfolio optimizationPersonal asset allocation stochastic programmingBeta (finance)Upside potential ratio
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A Portfolio Problem with Uncertainty

2000

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.

Matching (statistics)Mathematical optimizationSuperhedging priceComputer scienceFinancial economicsMerton's portfolio problemPortfolioCash flowPortfolio optimizationBlack–Litterman modelModern portfolio theory
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Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach

2012

Published version of an article from the journal: Mathematical Problems in Engineering. Also available from the publisher:http://dx.doi.org/10.1155/2012/628295 This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV) portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors' objectives. Fi…

VDP::Mathematics and natural science: 400::Mathematics: 410::Applied mathematics: 413Actuarial scienceArticle SubjectComputer scienceInvestment strategyApplication portfolio managementGeneral Mathematicslcsh:MathematicsGeneral EngineeringBlack–Litterman modellcsh:QA1-939VDP::Social science: 200::Economics: 210::Econometrics: 214lcsh:TA1-2040Return on investmentEconometricsPost-modern portfolio theoryPortfolio optimizationlcsh:Engineering (General). Civil engineering (General)Investment performanceSelection (genetic algorithm)Mathematical Problems in Engineering
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