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DC Field | Value | Language |
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dc.citation.title | ANNALS OF OPERATIONS RESEARCH | - |
dc.contributor.author | Bae, Sanghyeon | - |
dc.contributor.author | Lee, Yongjae | - |
dc.contributor.author | Kim, Woo Chang | - |
dc.contributor.author | Kim, Jang Ho | - |
dc.contributor.author | Fabozzi, Frank J. | - |
dc.date.accessioned | 2024-09-13T11:05:09Z | - |
dc.date.available | 2024-09-13T11:05:09Z | - |
dc.date.created | 2024-09-12 | - |
dc.date.issued | 2024-08 | - |
dc.description.abstract | This paper introduces a multistage stochastic mixed-integer programming model designed for a goal-based investing (GBI) problem, incorporating the option of goal postponement. Our model allows individuals to defer the fulfillment of their goals within a predefined timeframe. We emphasize the advantages of incorporating goal postponement into the GBI framework, including its ability to accommodate stage-preference ambiguity, address mistiming issues, and enhance utility for individuals. Theoretical results of a GBI problem with goal postponement are presented, and to tackle large-scale multistage GBI problems, we employ a decomposition algorithm known as stochastic dual dynamic integer programming (SDDiP). Numerical results demonstrate that the option to postpone a goal proves especially advantageous when goals are exposed to high inflation rates, and SDDiP emerges as a computationally efficient approach for handling large-scale GBI problems. | - |
dc.identifier.bibliographicCitation | ANNALS OF OPERATIONS RESEARCH | - |
dc.identifier.doi | 10.1007/s10479-024-06146-7 | - |
dc.identifier.issn | 0254-5330 | - |
dc.identifier.scopusid | 2-s2.0-85202660447 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/83783 | - |
dc.identifier.wosid | 001302289400002 | - |
dc.language | 영어 | - |
dc.publisher | SPRINGER | - |
dc.title | Goal-based investing with goal postponement: multistage stochastic mixed-integer programming approach | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.relation.journalWebOfScienceCategory | Operations Research & Management Science | - |
dc.relation.journalResearchArea | Operations Research & Management Science | - |
dc.type.docType | Article; Early Access | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | Stochastic dual dynamic integer programming | - |
dc.subject.keywordAuthor | Goal postponement | - |
dc.subject.keywordAuthor | Goal-based investing | - |
dc.subject.keywordAuthor | Multistage stochastic mixed-integer programming | - |
dc.subject.keywordPlus | ASSET | - |
dc.subject.keywordPlus | OPTIMIZATION | - |
dc.subject.keywordPlus | MODEL | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | GENERATION | - |
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