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: | Granot Frieda, Gautier Antoine |
Keywords: | networks: flow |
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.