NDLI: Optimal Dynamic Asset Allocation: A Stochastic Invariance Approach

Content Provider	IEEE Xplore Digital Library
Author	Pola, Gia. Pola, Gio.
Copyright Year	2006
Description	Author affiliation: CAAM SGR SpA, Milan (Pola, Gia.)
Abstract	Optimal asset allocation deals with how to divide the investor's wealth across some asset-classes in order to maximize the investor's gain. We consider the optimal asset allocation in a multi-period investment settings: optimal dynamic asset allocation provides the (optimal) re-balancing policy to accomplish some investment's criteria. Given a sequence of target sets, which represent the portfolio specifications at each re-balancing time, an optimal portfolio allocation is synthesized for maximizing the joint probability for the portfolio to fulfil the target sets requirements. The approach pursued is based on dynamic programming. The optimal solution is shown to conditionally depend on the portfolio realization, thus providing a practical scheme for the dynamic portfolio re-balancing. Finally some case studies are given to show the proposed methodology
Starting Page	2589
Ending Page	2594
File Size	212612
Page Count	6
File Format	PDF
ISBN	1424401712
DOI	10.1109/CDC.2006.376809
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2006-12-13
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Asset management Stochastic processes Portfolios Investments Optimal control Dynamic programming USA Councils Finance Gaussian distribution Contracts Stochastic Invariance Problem Optimal Dynamic Asset Allocation Portfolio Re-balancing Multi-Period Investment Optimal Control Dynamic Programming
Content Type	Text
Resource Type	Article

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