Nested versus non-nested decomposition for asset allocation problems
In this paper, multi-period asset allocation problems are formulated as multistage stochastic linear programs. Two-stage and three-stage L-shaped decomposition codes are developed using IBM OSL to solve the problems. The purpose of this study is to find out how many scenarios can be considered in the model and solved within a reasonable solution time using an efficient algorithm. Furthermore, we examine the tree structure of the scenarios in terms of realistic representation of asset allocation problems and computational efficiency. Test problems range in size from 1,000 scenarios to 64,000 scenarios and are generated from a multivariate normal distribution. Computational results are presented and some observations are discussed.
- OSTI ID:
- 35995
- Report Number(s):
- CONF-9408161-; TRN: 94:009753-0263
- Resource Relation:
- Conference: 15. international symposium on mathematical programming, Ann Arbor, MI (United States), 15-19 Aug 1994; Other Information: PBD: 1994; Related Information: Is Part Of Mathematical programming: State of the art 1994; Birge, J.R.; Murty, K.G. [eds.]; PB: 312 p.
- Country of Publication:
- United States
- Language:
- English
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