An asset allocation model based upon stochastic network programming

This paper presents a dynamic asset/liability management model and exploits an application of stochastic network programming into overall financial planning problems. The main objective is to illustrate stochastic network financial planning problems under the setting of network structures and to demonstrate how the present model differs from the traditional Markowitz type asset allocation. It is also shown that stochastic network programming can be combined with a scenario approach to solve large-scale multi-period asset allocation problems. [In Japanese.]