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An utilities based approach for multi-period dynamic portfolio selection

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Abstract

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.

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Authors and Affiliations

  1. Institute of Policy and Management, Chinese Academy of Sciences, Beijing, 100080, China

    Guoliang Yang & Siming Huang

  2. Research and Development Center, GUODU Securities, Beijing, 100011, China

    Wei Chen

Authors
  1. Guoliang Yang
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  2. Siming Huang
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  3. Wei Chen
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Corresponding author

Correspondence to Guoliang Yang.

Additional information

This research was supported by the Youth Foundation of Institute of Policy and Management of Chinese Academy of Sciences (O600381Q01).

Guoliang Yang, is an assistant professor in Management Science and Engineering at the Institute of Policy and Management in Chinese Academy of Sciences. He is interested in the field of portfolio selection, mathematical programming and decision support system. He has produced over ten publications in refereed journals and conference proceedings during the past several years.

Siming Huang, is a professor at the institute of policy and management in Chinese Academy of Sciences, who obtained his Ph.D. degree in the department of management sciences at the University of Iowa in 1992. His research interest lies in the field of Mathematical programming, Computational complexity, Financial mathematics and Data mining.

Wei Chen, is a researcher in the Research and Development Cente, GUODU Securities. She was born in Sept.16, 1980 and got her M.S. degree in management science in 2003. She is interested in the theory of portfolio selection and technical analysis in real Stock Market.

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Yang, G., Huang, S. & Chen, W. An utilities based approach for multi-period dynamic portfolio selection. J. Syst. Sci. Syst. Eng. 16, 277–286 (2007). https://doi.org/10.1007/s11518-007-5051-9

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  • DOI: https://doi.org/10.1007/s11518-007-5051-9

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