Life-Cycle Asset Allocation and Optimal Consumption Using Stochastic Linear Programming
نویسندگان
چکیده
منابع مشابه
Life-cycle Asset Allocation and Optimal Consumption Using Stochastic Linear Programming
We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to be able to generalize the closed-form solution obtained by Richard (1975). We account for aspects of the application of the SLP approach which arise in the context of life-cycle asset allocation, but are a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.952956