A multi-period dynamic model for optimal Portfolio Selection

被引：0
|
作者：
Yang, GL [1 ]
Huang, SM [1 ]
Cao, J [1 ]
机构：
[1] Chinese Acad Sci, Inst Policy & Management, Beijing 100864, Peoples R China
来源：
MANAGEMENT SCIENCES AND GLOBAL STRATEGIES IN THE 21ST CENTURY, VOLS 1 AND 2 | 2004年
关键词：
Portfolio Selection; quadratic programming; interior point algorithm; decision making;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper proposed a multi-period dynamic optimal portfolio selection model. Six assumptions were made to assure the strictness of reasoning. The theory that the utility of certain investor will reduce in the form of negative exponent along with the time series was presented. A version of multi-period model for a numerical example was developed and an infeasible interior point algorithm for quadratic programming was used to obtain the optimal solution.
引用
收藏
页码：29 / 33
页数：5
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