AN UTILITIES BASED APPROACH FOR MULTI-PERIOD DYNAMIC PORTFOLIO SELECTION

作     者：Guoliang YANG Siming HUANG Wei CHEN 

作者机构：Institute of Policy and Management Chinese Academy of Sciences Beijing 100080 China Research and Development Center GUODU Securities Beijing 100011 China 

出 版 物：《Journal of Systems Science and Systems Engineering》 (系统科学与系统工程学报（英文版）)

年 卷 期：2007年第16卷第3期

页      面：277-286页

核心收录：

学科分类：0810[工学-信息与通信工程] 1205[管理学-图书情报与档案管理] 12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 0802[工学-机械工程] 0811[工学-控制科学与工程] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

基　　金：∗ This research was supported by the Youth Foundation of Institute of 

主　　题：Portfolio selection quadratic programming multi-period model utilities 

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.