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- Type of Document: M.Sc. Thesis
- Language: Farsi
- Document No: 45225 (02)
- University: Sharif University of Technology
- Department: Mathematical Sciences
- Advisor(s): Mahdavi Amiri, Nezameddin
- Abstract:
- In financial portfolio problem, optimization models with uncertainty has been considered. The multi-stage stochastic programming methodology has been used as a solution method for these problems. In this study, we use multi-stage programming with uncertainity to evaluate the asset allocation problem. Some general models have been introduced for problem solving. Non-anticipativity and parent-child models are implemented and solved by both simplex and interior-point methods and the results are compared. The results show the parent-child model to have a better performance. Also, the interior-point method appears to need less computing time than the simplex method
- Keywords:
- Stochastic Programming ; Optimization Model ; Financial Portfolio Problem