Optimal financial decision making under uncertainty

Giorgio Consigli, Daniel Kuhn, Paolo Brandimarte

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

8 Scopus citations

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.

Original languageBritish English
Title of host publicationInternational Series in Operations Research and Management Science
Pages255-290
Number of pages36
DOIs
StatePublished - 2017

Publication series

NameInternational Series in Operations Research and Management Science
Volume245
ISSN (Print)0884-8289

Keywords

  • Asset-liability management
  • Decision rules
  • Distributionally robust optimization
  • Dynamic programming
  • Multistage stochastic programming
  • Pension fund management
  • Robust optimization
  • Stochastic control

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