We propose a decomposition method for the solution of a dynamic portfolio optimization problem formulated as a multistage stochastic programming problem. The method leads to the problem time and nodal decomposition in its arborescent formulation applying a discrete version of the Pontryagin Maximum Principle. The solution of the decomposed problems is coordinated through a weighted fixed-point iterative scheme. The introduction of an optimization step in the weights choice at each iteration leads to a very efficient solution algorithm.

Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization

BARRO, Diana;CANESTRELLI, Elio
2006-01-01

Abstract

We propose a decomposition method for the solution of a dynamic portfolio optimization problem formulated as a multistage stochastic programming problem. The method leads to the problem time and nodal decomposition in its arborescent formulation applying a discrete version of the Pontryagin Maximum Principle. The solution of the decomposed problems is coordinated through a weighted fixed-point iterative scheme. The introduction of an optimization step in the weights choice at each iteration leads to a very efficient solution algorithm.
2006
1
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/29062
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