Stochastic Network Programming for Financial Planning Problems
提出用动态广义网络模型处理金融规划中的随机参数，涵盖资产配置、国际现金管理和程序化交易套利，并利用网络结构实现高效求解，实证显示该方法在资产配置中的优势。
Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading arbitrage. Despite the large size of the resulting stochastic programs, the network structure can be exploited within the solution strategy giving rise to efficient implementations. Empirical results are presented indicating the benefits of the stochastic network approach for the asset allocation case.