We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model's significant advantage is its intuitive and reactive design that incorporates the latest asset return regimes...

We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model’s significant advantage is its intuitive and reactive design that incorporates the latest asset return...

We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, which reduce their diversification...

In this paper we start off by reviewing the literature on how to extend the meanvariance portfolio model to multi-stage portfolio problems. We then apply a multiperiod portfolio selection model to power generation assets, which is based on a reallocation methodology with scenario tree. Two...

In this paper, an approximation of dynamic programming using sequential stochastic programming is introduced to solve long-term dynamic financial planning problems. We prove that by approximating the true asset return dynamics by a set of scenarios and re-solving the problem at every time-step,...