PT  - JOURNAL ARTICLE
AU  - John M. Mulvey
AU  - William R. Pauling
AU  - Ronald E. Madey
TI  - Advantages of Multiperiod Portfolio Models
AID  - 10.3905/jpm.2003.319871
DP  - 2003 Jan 31
TA  - The Journal of Portfolio Management
PG  - 35--45
VI  - 29
IP  - 2
4099  - https://pm-research.com/content/29/2/35.short
4100  - https://pm-research.com/content/29/2/35.full
AB  - A multiperiod portfolio model provides significant advantages over traditional single-period approaches—especially for long-term investors. Such a framework can enhance risk-adjusted performance and help investors evaluate the probability of reaching financial goals by linking asset and liability policies. Multiperiod portfolio models consist of three basic components: a stochastic scenario generator; a policy rule simulator; and an optimization module that identifies non-dominated solutions. Useful applications are in pension planning, insurance risk management, hedge funds, and asset allocation for individual investors.