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Title: Heuristic approaches to solve risk-adjusted and time-adjusted discrete asset allocation problem
Keywords: Discrete Asset Allocation, Heuristic Approach, Risk-adjusted, Time-adjusted, Relaxed Delta Property, Hill Climbing Algorithm
Issue Date: 17-Jan-2012
Citation: WANG JUNZHE (2012-01-17). Heuristic approaches to solve risk-adjusted and time-adjusted discrete asset allocation problem. ScholarBank@NUS Repository.
Abstract: This dissertation examines a real world private equity investment decision making process. The formulation of such a problem is a discrete asset allocation study. The nature of risk-adjusted investor utility behavior, as well as time-adjusted expected investment return complicate the problem to a Mixed Integer Non-Linear Programming (MINLP), for which there exists no efficient solving algorithms. Hence, several heuristic approaches are proposed to decompose the complex mathematical modeling into two sub-problems: 1) risk-adjusted Integer Quadratic Program (IQP), and 2) time-adjusted Non-Linear Program (NLP). In addition, comparisons are made among the heuristic approaches and exact approaches in terms of time efficiency and suboptimal level. The conclusion is that heuristic algorithms are much more time efficient than the exact approaches, and at the same time, they provide a satisfactory suboptimal solution. Lastly, a check-list table of different algorithms to use for solving different problem sizes is provided.
Appears in Collections:Master's Theses (Open)

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