Portfolio optimization via stochastic programming: Methods of output analysis

Jitka Dupačová
1999 Mathematical Methods of Operations Research  
Solutions of portfolio optimization problems are often in¯uenced by errors or misspeci®cations due to approximation, estimation and incomplete information. Selected methods for analysis of results obtained by solving stochastic programs are presented and their scope illustrated on generic examples ± the Markowitz model, a multiperiod bond portfolio management problem and a general strategic investment problem. The approaches are based on asymptotic and robust statistics, on the moment problem and on results of parametric optimization.
doi:10.1007/s001860050097 fatcat:wfe555gf2bdpvegckoytu2srqm