%0 Journal Article
%T A Stochastic Programming Approach for Multi-Period Portfolio Optimization
%A Narela Bajram
%A Mehmet Can
%J Southeast Europe Journal of Soft Computing
%D 2012
%I 
%X An Asset-Liability Management model with a novel strategy for controlling risk of underfunding is 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 investmentĄ¯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.
%K stochastic linear programming (SLP)
%K portfolio optimizations
%K asset- liability management (ALM
%K 
%K scenario trees
%U http://www.scjournal.com.ba/index.php/scjournal/article/view/30