Naval Postgraduate School
Dudley Knox Library
NPS Dudley Knox Library
View Item 
  •   Calhoun Home
  • Theses and Dissertations
  • 1. Thesis and Dissertation Collection, all items
  • View Item
  •   Calhoun Home
  • Theses and Dissertations
  • 1. Thesis and Dissertation Collection, all items
  • View Item
  • How to search in Calhoun
  • My Accounts
  • Ask a Librarian
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

All of CalhounCollectionsThis Collection

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors

Dynamic-programming approaches to single-and multi-stage stochastic knapsack problems for portfolio optimization

Thumbnail
Download
Icon99Mar_Khoo.pdf (2.083Mb)
Download Record
Download to EndNote/RefMan (RIS)
Download to BibTex
Author
Khoo, Wai Gea
Date
1999-03
Advisor
Wood, R. Kevin
Metadata
Show full item record
Abstract
This thesis proposes new methods, based on dynamic programming, for solving certain single-stage and multi-stage integer stochastic knapsack problems. These problems model stochastic portfolio optimization problems (SPOPs) which assume deterministic unit weight, and normally distributed unit return with known mean and variance for each item type. Given an initial wealth, the objective is to select a portfolio that maximizes the probability of achieving or exceeding a specified final return threshold; the multi-stage problem allows revisions of the portfolio at regular time intervals. An exact method is developed to solve a single-stage SPOP with independence of returns among item types. For a problem from the literature with 11 item types, this method obtains an optimal solution in a fraction of a second on a laptop computer. An approximation method, based on discretization of possible wealth values, is developed to solve a multi-stage SPOP with inter- and intra-stage independence of returns among item types. Running on a desktop computer, this approximation method solves a 3-stage problem with 6 item types in under 12 minutes. With finer discretization in a 3-stage problem with 8 item types, the solution time is about 46 minutes.
URI
http://hdl.handle.net/10945/13618
Collections
  • 1. Thesis and Dissertation Collection, all items

Related items

Showing items related by title, author, creator and subject.

  • Thumbnail

    Calculating CVaR and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation 

    Norton, Matthew; Khokhlov, Valentyn; Uryasev, Stan (Springer, 2019-10);
    Conditional value-at-risk (CVaR) and value-at-risk, also called the superquantile and quan- tile, are frequently used to characterize the tails of probability distributions and are popular measures of risk in applications ...
  • Thumbnail

    Cybersecurity, Artificial Intelligence, and Risk Management: Understanding Their Implementation in Military Systems Acquisitions 

    Mun, Johnathan; Housel, Thomas (Monterey, California. Naval Postgraduate School, 2022-05-02); SYM-AM-22-065
    This research has the explicit goal of proposing a reusable, extensible, adaptable, and comprehensive advanced analytical modeling process to help the U.S. Navy in quantifying, modeling, valuing, and optimizing a set of ...
  • Thumbnail

    Cybersecurity, Artificial Intelligence, and Risk Management: Understanding Their Implementation in Military Systems Acquisitions 

    Mun, Johnathan; Housel, Thomas (Monterey, California. Naval Postgraduate School, 2022-05-02); SYM-AM-22-065
    This research has the explicit goal of proposing a reusable, extensible, adaptable, and comprehensive advanced analytical modeling process to help the U.S. Navy in quantifying, modeling, valuing, and optimizing a set of ...
NPS Dudley Knox LibraryDUDLEY KNOX LIBRARY
Feedback

411 Dyer Rd. Bldg. 339
Monterey, CA 93943
circdesk@nps.edu
(831) 656-2947
DSN 756-2947

    Federal Depository Library      


Start Your Research

Research Guides
Academic Writing
Ask a Librarian
Copyright at NPS
Graduate Writing Center
How to Cite
Library Liaisons
Research Tools
Thesis Processing Office

Find & Download

Databases List
Articles, Books & More
NPS Theses
NPS Faculty Publications: Calhoun
Journal Titles
Course Reserves

Use the Library

My Accounts
Request Article or Book
Borrow, Renew, Return
Tech Help
Remote Access
Workshops & Tours

For Faculty & Researchers
For International Students
For Alumni

Print, Copy, Scan, Fax
Rooms & Study Spaces
Floor Map
Computers & Software
Adapters, Lockers & More

Collections

NPS Archive: Calhoun
Restricted Resources
Special Collections & Archives
Federal Depository
Homeland Security Digital Library

About

Hours
Library Staff
About Us
Special Exhibits
Policies
Our Affiliates
Visit Us

NPS-Licensed Resources—Terms & Conditions
Copyright Notice

Naval Postgraduate School

Naval Postgraduate School
1 University Circle, Monterey, CA 93943
Driving Directions | Campus Map

This is an official U.S. Navy Website |  Please read our Privacy Policy Notice  |  FOIA |  Section 508 |  No FEAR Act |  Whistleblower Protection |  Copyright and Accessibility |  Contact Webmaster

Export search results

The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

A logged-in user can export up to 15000 items. If you're not logged in, you can export no more than 500 items.

To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.