Multi-stage approach in Risk management and financial planning

Contributed abstract in session Finance II, cluster Finance .

Authors

Abstract

We investigate benefits of using recourse. We formulate and solve multi-stage models for portfolio optimization using AMPL/CPLEX system. We show that increasing desired minimum expected return leads to higher volatility of portfolio returns over the investment horizon. We show that higher transaction cost results in more volatile returns.

Keywords

• Finance
• Risk Analysis and Management
• Stochastic Models

Status: accepted