AN UTILITIES BASED APPROACH FOR MULTI-PERIOD DYNAMIC PORTFOLIO SELECTION  

作　　者：Guoliang YANG Siming HUANG Wei CHEN 

机构地区：[1]Institute of Policy and Management, Chinese Academy of Sciences, Beijing, 100080, China [2]Research and Development Center, GUODU Securities, Beijing, 100011, China

出　　处：《Journal of Systems Science and Systems Engineering》2007年第3期277-286,共10页系统科学与系统工程学报（英文版）

摘　　要：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.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.

关 键 词：Portfolio selection quadratic programming multi-period model UTILITIES 

分 类 号：F832.5[经济管理—金融学]