An utilities based approach for multi-period dynamic portfolio selection
Yang, GL; Huang, SM; Chen, W
2007
Source PublicationJOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING
ISSN1004-3756
Volume16Issue:3Pages:10,277-286
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.

KeywordPortfolio Selection Quadratic Programming Multi-period Model Utilities
Subject AreaOperations Research & Management Science
Indexed BySCI
Language英语
WOS IDWOS:000258569700002
Citation statistics
Cited Times:2[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.casisd.cn/handle/190111/4859
Collection中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)
Recommended Citation
GB/T 7714
Yang, GL,Huang, SM,Chen, W. An utilities based approach for multi-period dynamic portfolio selection[J]. JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING,2007,16(3):10,277-286.
APA Yang, GL,Huang, SM,&Chen, W.(2007).An utilities based approach for multi-period dynamic portfolio selection.JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING,16(3),10,277-286.
MLA Yang, GL,et al."An utilities based approach for multi-period dynamic portfolio selection".JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING 16.3(2007):10,277-286.
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