RT Journal Article
SR Electronic
T1 Applying Optimization Technology to Portfolio Management
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 162
OP 168
DO 10.3905/jpm.2004.442642
VO 30
IS 5
A1 John M. Mulvey
YR 2004
UL https://pm-research.com/content/30/5/162.abstract
AB Multiperiod optimization models are typical in portfolio management. Prominent examples include fund construction, the investment/consumption problem for individual investors, and asset/liability management for global financial organizations. Powerful optimization technology can expand the range of solvable portfolio applications, especially for investment problems over time. Three primary frameworks?stochastic control, stochastic programs, and optimizing simulators?have their particular advantages. Advanced optimization tools will be useful in many future applications.