Dynamic Asset Allocation - Stanford University（动态资产配置-斯坦福大学）.pdf

Dynamic Asset Allocation Using Stochastic Programming and Stochastic Dynamic Programming Techniques Gerd Infanger Stanford University Winter 2011/2012 MSE348/Infanger 1 Outline • Motivation • Background and Concepts • Risk Aversion • Applying Stochastic Dynamic Programming – Superiority of Dynamic Strategies • Applying Multi-Stage Stochastic Programming • Summary Winter 2011/2012 MSE348/Infanger 2 Asset Allocation • Allocation between asset classes accounts for the major part of return and risk of a portfolio – Equity investments – Interest-bearing investments • Selection of individual instruments is a lower-level decision with much smaller influence on portfolio performance • Asset Allocation should consider all financial aspects – Current and future wealth, income, and financial needs – Financial goals – Liquidity (plan for the unexpected) • Financial industry suggests that investors need customized investment strategies Winter 2011/2012 MSE348/Infanger 3 Typical Financial Advice • Questionnaires to assess the risk aversion of an investor – (E*Trade, Charles Schwab, Fidelity, Financial Engines, ASI, etc…) – Taking measure, often with great sophistication and much detail – = risk aversion of the investor (typically assuming constant relative risk aversion, CRRA) • Choose from standardized portfolios: – Conservative, e.g., 20% stocks – Dynamic, e.g., 40% stocks – Progressive, e.g., 60% stocks • Is that a customized portfolio? Winter 2011/2012 MSE348/Infanger 4 Financial Advice (cont.) • More recent