A Stochastic Programming Approach for Multi-Period Portfolio Optimization

Narela Bajram, Mehmet Can


presented in this paper. The basic model involves Multi-Period decisions (portfolio optimization) and deals with the usual uncertainty of investment returns and future liabilities. Therefore, is it well suited to a stochastic programming approach.

We consider the problem of rebalancing policy to accomplish some investment’s criteria. Transaction costs have also been a subject of concern in this paper. In particular, a large amount of transactions usually make asset price move in an unfavorable direction. Therefore, the first problem neglects transactions cost while the second does not.

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DOI: http://dx.doi.org/10.21533/scjournal.v1i2.60


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Copyright (c) 2015 SouthEast Europe Journal of Soft Computing

ISSN 2233 -1859

Digital Object Identifier DOI: 10.21533/scjournal

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