Abstract
Multiperiod optimization models are typical in portfolio management. Prominent examples include fund construction, the investment/consumption problem for individual investors, and asset/liability management for global financial organizations. Powerful optimization technology can expand the range of solvable portfolio applications, especially for investment problems over time. Three primary frameworks?stochastic control, stochastic programs, and optimizing simulators?have their particular advantages. Advanced optimization tools will be useful in many future applications.
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