DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY

被引：2

作者：

Yu, Mei ^{[1
]}

Inoue, Hiroshi ^{[2
]}

Takahashi, Satoru ^{[2
]}

Shi, Jianming ^{[3
]}

机构：

[1] Univ Int Business & Econ, Sch Finance & Banking, Beijing 100029, Peoples R China

[2] Tokyo Univ Sci, Sch Management, Kuki, Saitama 3468512, Japan

[3] Muroran Inst Technol, Dept Comp Sci & Syst Engn, Muroran, Hokkaido 0508585, Japan

来源：

INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS | 2009年 / 17卷 / 02期

关键词：

Portfolio optimization; uncertainty; dynamic programming; MINIMAX RULE; OPTIMIZATION; MODEL;

D O I：

10.1142/S0218488509005838

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

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.

引用

页码：237 / 250

页数：14

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