We use a fairly general framework to analyze a rich variety of financial optimization models presented in the literature, with emphasis on contributions included in this volume and a related special issue of OR Spectrum. We do not aim at providing readers with an exhaustive survey, rather we focus on a limited but significant set of modeling and methodological issues. The framework is based on a benchmark discrete-time stochastic control optimization framework, and a benchmark financial problem, asset--liability management, whose generality is considered in this chapter. A wide set of financial problems, ranging from asset allocation to financial engineering problems, is outlined, in terms of objectives, risk models, solution methods, and model users. We pay special attention to the interplay between alternative uncertainty representations and solution methods, which have an impact on the kind of solution which is obtained. Finally, we outline relevant directions for further research and optimization paradigms integration.

Optimal Financial Decision Making under Uncertainty / Consigli, Giorgio; Kuhn, Daniel; Brandimarte, Paolo (INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE). - In: Optimal Financial Decision Making under Uncertainty / Consigli, Giorgio; Kuhn, Daniel; Brandimarte, Paolo. - STAMPA. - Cham : Springer, 2017. - ISBN 978-3-319-41611-3. - pp. 255-290 [10.1007/978-3-319-41613-7_11]

Optimal Financial Decision Making under Uncertainty

BRANDIMARTE, PAOLO
2017

Abstract

We use a fairly general framework to analyze a rich variety of financial optimization models presented in the literature, with emphasis on contributions included in this volume and a related special issue of OR Spectrum. We do not aim at providing readers with an exhaustive survey, rather we focus on a limited but significant set of modeling and methodological issues. The framework is based on a benchmark discrete-time stochastic control optimization framework, and a benchmark financial problem, asset--liability management, whose generality is considered in this chapter. A wide set of financial problems, ranging from asset allocation to financial engineering problems, is outlined, in terms of objectives, risk models, solution methods, and model users. We pay special attention to the interplay between alternative uncertainty representations and solution methods, which have an impact on the kind of solution which is obtained. Finally, we outline relevant directions for further research and optimization paradigms integration.
2017
978-3-319-41611-3
Optimal Financial Decision Making under Uncertainty
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11583/2663476
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