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   作者單位： 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： 系統(tǒng)科學(xué)與系統(tǒng)工程學(xué)報(bào)（英文版）  英文刊名： JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING  年，卷(期)： 2007 16(3)  分類(lèi)號(hào)： N94  關(guān)鍵詞： Portfolio selection   quadratic programming   multi-period model   utilities  

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