My PhD thesis is titled: “The static approximation to dynamic asset allocation – a stochastic programming approach”. The thesis focuses in the relationship between static and dynamic asset allocation strategies, specifically, using the static portfolio with derivatives to approximate the optimal dynamic strategies without positions in derivatives. This thesis addresses mainly two research questions: (i) the determination of optimal dynamic asset allocation strategies. (ii) how the static portfolio can approximate the dynamic strategies. An integrated simulation and optimization framework is developed for static and dynamic asset allocation, i.e. the single- as well as multi-period stochastic programming models.