Concepts, technical issues, and uses of the Russell-Yasuda!Kasai financial planning model

被引：62

作者：

Cariño, DR

Myers, DH

Ziemba, WT

机构：

[1] Frank Russell Australia, Sydney, NSW, Australia

[2] Univ Washington, Seattle, WA 98195 USA

[3] Univ British Columbia, Vancouver, BC V5Z 1M9, Canada

来源：

OPERATIONS RESEARCH | 1998年 / 46卷 / 04期

关键词：

D O I：

10.1287/opre.46.4.450

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper discusses technical aspects of the Russell-Yasuda Kasai financial planning model. These include the models for the discrete distribution scenario generation processes for the uncertain parameters of the model, the mathematical approach used to develop the infinite-horizon end-effects part of the model, a comparison of algorithms used in the model's solution, and a comparison of the multistage stochastic linear programming model with the previous technology, static mean-variance analysis. Experience and bene fits of the model in Yasuda-Kasai's financial planning process is also discussed.

引用

页码：450 / 462

页数：13

共 17 条

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[Anonymous], NUMERICAL TECHNIQUES

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BENDERS JF, 1962, NUMER MATH, V4, P238, DOI [10.1007/BF01386316, DOI 10.1007/BF01386316, DOI 10.1007/S10287-004-0020-Y]

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