### Abstract

Lingua originale | English |
---|---|

pagine (da-a) | 167-191 |

Numero di pagine | 25 |

Rivista | Annals of Operations Research |

Volume | 152 |

Stato di pubblicazione | Published - 2007 |

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### All Science Journal Classification (ASJC) codes

- Decision Sciences(all)
- Management Science and Operations Research

### Cita questo

*Annals of Operations Research*,

*152*, 167-191.

**Scenario Optimization Asset and Liability Modelling for Individual Investors.** / Consiglio, Andrea; Cocco, Flavio; Zenios, Stavros A.

Risultato della ricerca: Article

*Annals of Operations Research*, vol. 152, pagg. 167-191.

}

TY - JOUR

T1 - Scenario Optimization Asset and Liability Modelling for Individual Investors

AU - Consiglio, Andrea

AU - Cocco, Flavio

AU - Zenios, Stavros A.

PY - 2007

Y1 - 2007

N2 - We develop a scenario optimization model for asset and liability management ofindividual investors. The individual has a given level of initial wealth and a target goal to bereached within some time horizon. The individual must determine an asset allocation strategyso that the portfolio growth rate will be sufficient to reach the target. A scenario optimizationmodel is formulated which maximizes the upside potential of the portfolio, with limits onthe downside risk. Both upside and downside are measured vis- `a-vis the goal. The stochasticbehavior of asset returns is captured through bootstrap simulation, and the simulation isembedded in the model to determine the optimal portfolio. Post-optimality analysis usingout-of-sample scenarios measures the probability of success of a given portfolio. It alsoallows us to estimate the required increase in the initial endowment so that the probability ofsuccess is improved.

AB - We develop a scenario optimization model for asset and liability management ofindividual investors. The individual has a given level of initial wealth and a target goal to bereached within some time horizon. The individual must determine an asset allocation strategyso that the portfolio growth rate will be sufficient to reach the target. A scenario optimizationmodel is formulated which maximizes the upside potential of the portfolio, with limits onthe downside risk. Both upside and downside are measured vis- `a-vis the goal. The stochasticbehavior of asset returns is captured through bootstrap simulation, and the simulation isembedded in the model to determine the optimal portfolio. Post-optimality analysis usingout-of-sample scenarios measures the probability of success of a given portfolio. It alsoallows us to estimate the required increase in the initial endowment so that the probability ofsuccess is improved.

UR - http://hdl.handle.net/10447/23441

M3 - Article

VL - 152

SP - 167

EP - 191

JO - Annals of Operations Research

JF - Annals of Operations Research

SN - 0254-5330

ER -