Dynamic financial planning: certainty equivalents, stochastic constraints and functional conjugate duality

dc.citation.epage938en_US
dc.citation.issueNumber10en_US
dc.citation.spage931en_US
dc.citation.volumeNumber37en_US
dc.contributor.authorJefferson, T. R.en_US
dc.contributor.authorScott, C. H.en_US
dc.date.accessioned2016-02-08T10:22:16Z
dc.date.available2016-02-08T10:22:16Z
dc.date.issued2005en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractThis paper studies portfolios under risk and stochastic constraints. Certainty equivalents combine risk aversion and exponential utility to form the objective. Budget and stochastic constraints on the account balance are used to ensure a positive net worth over time. These portfolio models are analyzed by functional conjugate duality for general distributions and by conjugate duality for the normal distribution. All the programs are convex. The duals provide insight into this approach and relate it to other stochastic and financial concepts.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:22:16Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2005en
dc.identifier.doi10.1080/07408170591007830en_US
dc.identifier.eissn1545-8830
dc.identifier.issn0740-817X
dc.identifier.urihttp://hdl.handle.net/11693/23979
dc.language.isoEnglishen_US
dc.publisherTaylor & Francisen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/07408170591007830en_US
dc.source.titleIIE Transactionsen_US
dc.subjectConstraint theoryen_US
dc.subjectDynamic programmingen_US
dc.subjectManagementen_US
dc.subjectMathematical modelsen_US
dc.subjectOptimizationen_US
dc.subjectPlanningen_US
dc.subjectRandom processesen_US
dc.subjectRisk assessmenten_US
dc.subjectRisk managementen_US
dc.subjectCertainty equivalentsen_US
dc.subjectFunctional conjugate dualityen_US
dc.subjectStochastic constraintsen_US
dc.subjectValue at risk (VaR)en_US
dc.subjectVariance-covariance matrixen_US
dc.subjectFinanceen_US
dc.titleDynamic financial planning: certainty equivalents, stochastic constraints and functional conjugate dualityen_US
dc.typeArticleen_US

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