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
收藏
页码：237 / 250
页数：14
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