Post-tax optimization with stochastic programming

Article Abstract:

In the article, a stochastic programming framework is considered for post-tax portfolio optimization. LP and MIP models are considered; LP model restricts annual withdrawals to be within the amount of investment return in that year while the MIP model allows general withdrawals.

Analysis, Stochastic programming

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Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach

Article Abstract:

A dynamic programming method to develop multiperiod portfolio optimization model, under the uncertain stochastic market conditions, is presented.

Turkey, Models, Dynamic programming

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Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach

Article Abstract:

A study of time bound dynamic portfolio management problem with transaction costs and risk-averse objectives is presented.

Italy

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