A parametric analysis of a nonlinear asset allocation management model

A parametric analysis of a nonlinear asset allocation management model

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Article ID: iaor1993851
Country: Netherlands
Volume: 11
Issue: 5
Start Page Number: 273
End Page Number: 279
Publication Date: Jun 1992
Journal: Operations Research Letters
Authors: ,
Keywords: networks: flow
Abstract:

The authors show in this note how an asset allocation model can be formulated as a nonlinear parametric network flow problem with one additional linear constraint. They then recommend a method by which a decision-maker could understand qualitatively how to respond to changes in the environment such as variations in interest rates, taxes or asset prices without any additional computation.

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