An utilities based approach for multi-period dynamic portfolio selection

Guoliang Yang; Siming Huang; Wei Chen

doi:10.1007/s11518-007-5051-9

Journal of Systems Science and Systems Engineering ›› 2007, Vol. 16 ›› Issue (3) : 277 -286. DOI: 10.1007/s11518-007-5051-9

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An utilities based approach for multi-period dynamic portfolio selection

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Abstract

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.

Keywords

Portfolio selection / quadratic programming / multi-period model / utilities

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Guoliang Yang, Siming Huang, Wei Chen. An utilities based approach for multi-period dynamic portfolio selection. Journal of Systems Science and Systems Engineering, 2007, 16(3): 277-286 DOI:10.1007/s11518-007-5051-9

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