Article ID Journal Published Year Pages File Type
482889 European Journal of Operational Research 2006 14 Pages PDF
Abstract

We consider multi-period portfolio selection problems for a decision maker with a specified utility function when the variance of security returns is described by a discrete time stochastic model. The solution of these problems involves a dynamic programming formulation and backward induction. We present a simulation-based method to solve these problems adopting an approach which replaces the preposterior analysis by a surface fitting based optimization approach. We provide examples to illustrate the implementation of our approach.

Related Topics
Physical Sciences and Engineering Computer Science Computer Science (General)
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