DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY-Reference-Cited by-同舟云学术

DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY

Published:2009-04 Issue:02 Volume:17 Page:237-250
ISSN:0218-4885
Container-title:International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems
language:en
Short-container-title:Int. J. Unc. Fuzz. Knowl. Based Syst.

Author:

YU MEI¹,INOUE HIROSHI²,TAKAHASHI SATORU²,SHI JIANMING³

Affiliation:

1. School of Finance & Banking, University of International Business and Economics, Beijing 100029, China

2. School of Management, Tokyo University of Science, Kuki-shi Saitama 346-8512, Japan

3. Department of Computer Science and Systems Engineering, Muroran Institute of Technology, 27-1 Mizumoto-cho, Muroran 050-8585, Japan

Abstract

How to make a prompt decision for uncertainty investment is always a key problem in financial market. In this paper, we present a new dynamic portfolio selection strategy in stock market. The investor is assumed to seek an investment strategy that will maximize his/her final wealth and minimize the total risk. An analytically optimal strategy in closed form is obtained by solving a dynamic programming problem. Some applications are also presented to illustrate this model.

Publisher

World Scientific Pub Co Pte Lt

Subject

Artificial Intelligence,Information Systems,Control and Systems Engineering,Software

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218488509005838

Reference15 articles.

1. E. J. Elton and M. J. Gruber, The multi-period consumption investment problem and single period analysis (Oxford Economics Paper, 1974) pp. 289–301.

2. On the Optimality of Some Multiperiod Portfolio Selection Criteria

3. Optimum consumption and portfolio rules in a continuous-time model

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. STUDY ON THE RESAMPLING TECHNIQUE FOR RISK MANAGEMENT IN THE INTERNATIONAL PORTFOLIO SELECTION BASED ON CHINESE INVESTORS;International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems;2013-07

2. PB-ADVISOR: A private banking multi-investment portfolio advisor;Information Sciences;2012-11