1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.OC2022★ 1 cited
Strategic Asset Allocation with Illiquid Alternatives
Eric Luxenberg, Stephen Boyd, Mykel Kochenderfer +6
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiqu…
econ.EM2020
Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation
Misha van Beek
Economic Scenario Generators (ESGs) simulate economic and financial variables forward in time for risk management and asset allocation purposes. It is often not feasible to calibra…