DocumentCode
2763769
Title
Multistage Tracking Model: Solutions and Analysis
Author
Liang, Jianfeng
Author_Institution
Lingnan Coll., Sun Yat-sen Univ., Guangzhou, China
fYear
2009
fDate
6-7 June 2009
Firstpage
366
Lastpage
369
Abstract
This paper investigates a target tracking problem of portfolio selection. A refined tracking-error-variance methodology is adopted to formulate this problem as a multistage stochastic optimization model. We derive out the explicit optimal solution and compare it with the traditional mean-variance efficient portfolio on the payoff patterns and the efficiency. Throughout the paper, numerical examples with real life data are used to illustrate and validate our results.
Keywords
business data processing; stochastic programming; multistage stochastic optimization model; multistage tracking model; payoff patterns; portfolio selection; target tracking problem; tracking-error-variance methodology; Educational institutions; Electronic commerce; Investments; Mathematical model; Mathematical programming; Optimization methods; Portfolios; Stochastic processes; Sun; Target tracking; multistage tracking mode; portfolio selection; stochastic progeamming;
fLanguage
English
Publisher
ieee
Conference_Titel
Electronic Commerce and Business Intelligence, 2009. ECBI 2009. International Conference on
Conference_Location
Beijing
Print_ISBN
978-0-7695-3661-3
Type
conf
DOI
10.1109/ECBI.2009.37
Filename
5190475
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