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Author (up) Reus, L.; Prado, R. doi  openurl
  Title Need to Meet Investment Goals? Track Synthetic Indexes with the SDDP Method Type
  Year 2021 Publication Computational Economics Abbreviated Journal Comput. Econ.  
  Volume Early Access Issue Pages  
  Keywords Dynamic asset allocation; Index tracking; SDDP; Julia; ALM; ETF  
  Abstract This work presents a novel application of the Stochastic Dual Dynamic Problem (SDDP) to large-scale asset allocation. We construct a model that delivers allocation policies based on how the portfolio performs with respect to user-defined (synthetic) indexes, and implement it in a SDDP open-source package. Based on US economic cycles and ETF data, we generate Markovian regime-dependent returns to solve an instance of multiple assets and 28 time periods. Results show our solution outperforms its benchmark, in both profitability and tracking error.  
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  Series Volume Series Issue Edition  
  ISSN 0927-7099 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000669186300001 Approved  
  Call Number UAI @ alexi.delcanto @ Serial 1435  
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