AN UTILITIES BASED APPROACH FOR MULTI-PERIOD DYNAMIC PORTFOLIO SELECTION
This paper proposed a multi-period dynamic optimal portfolio selection model. Assumptions were made to assure the strictness of reasoning. This Approach depicted the developments and changing of the real stock market and is an attempt to remedy some of the deficiencies of recent researches. The model is a standard form of quadratic programming. Furthermore, this paper presented a numerical example in real stock market.
作 者： Guoliang YANG Siming HUANG Wei CHEN 作者单位： Guoliang YANG,Siming HUANG(Institute of Policy and Management, Chinese Academy of Sciences, Beijing, 100080, China)Wei CHEN(Research and Development Center, GUODU Securities, Beijing, 100011, China)
刊 名： 系统科学与系统工程学报（英文版） 英文刊名： JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING 年，卷(期)： 2007 16(3) 分类号： N94 关键词： Portfolio selection quadratic programming multi-period model utilities