Resumen
This work presents a novel application of the Stochastic Dual Dynamic Problem (SDDP) to large-scale asset allocation. We construct a model that delivers allocation policies based on how the portfolio performs with respect to user-defined (synthetic) indexes, and implement it in a SDDP open-source package. Based on US economic cycles and ETF data, we generate Markovian regime-dependent returns to solve an instance of multiple assets and 28 time periods. Results show our solution outperforms its benchmark, in both profitability and tracking error.
Idioma original | Inglés |
---|---|
Páginas (desde-hasta) | 47-69 |
Número de páginas | 23 |
Publicación | Computational Economics |
Volumen | 60 |
N.º | 1 |
DOI | |
Estado | Publicada - jun. 2022 |
Publicado de forma externa | Sí |