There were, however, differences in the investment
schedules: as expected19 , the volatility troughs
triggered higher investment levels. A pension fund
management example illustrated the use of the
method for a non HARA objective function; it
also highlighted the insufficiency of a mean value
as an optimisation criterion. A cautious strategy
was computed with very low VaR and CVaR.
All solutions were practical in that they could be
applied to real life situations describable by the
portfolio model. The method of obtaining them
is ready to be applied to other scenarios of the
model parameters (including a variable discount
rate, etc.).
Some optimisation runs (on a Pentium II PC)
lasted up to 30 hours (for δ = .02, h = 100).
However, an “intelligent” state space search (à la
[12] or [16] ) could be implemented to accelerate
the algorithm convergence.
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19There are situations where the conclusion could have
been opposite, see [17].
16