On Two Stage Portfolio Allocation Problems with Affine…关于仿射两阶段投资组合分配问题.pdfVIP

Proceedings of the ThC10.4 44th IEEE Conference on Decision and Control, and the European Control Conference 2005 Seville, Spain, December 12-15, 2005 On Two-Stage Portfolio Allocation Problems with Affine Recourse Giuseppe Calafiore and Marco C. Campi Abstract— In this paper we propose an approach based on return of his investment is dictated by a random outcome. affine parameterization of the recourse policy for the solution A recourse decision can then be made in the second stage, of multi-stage optimization problems that arise in the context to compensate for any bad effects that might have been of allocation of financial portfolios over multiple periods. Such problems are typically dealt with using the multi-stage experienced as a result of the first-stage decision. The stochastic programming paradigm, which has the drawback of mainstream computational model to solve such kind of recur- being computationally intractable. Here, we show that imposing sive decision problems is provided by multi-stage stochastic an affine structure to the recourse policy results in an explicit programming, see e.g. [3]. While stochastic programming and exact problem formulation, which is efficiently solvable by may provide a conceptually sound framework for posing means of interior point methods for convex second order cone multi-stage decision problems, from the computational side it programs.