| Article ID: | iaor20021069 |
| Country: | China |
| Volume: | 40 |
| Issue: | 5 |
| Start Page Number: | 625 |
| End Page Number: | 630 |
| Publication Date: | Sep 2000 |
| Journal: | Journal of Dalian University of Technology |
| Authors: | Yang Deli, Yang Dequan, Hu Yunquan |
In an attempt to overcome the shortcomings of current dynamic portfolio investment decisions, this paper presents a non-linear recursive programming approach for dynamic portfolio investment decision using recursive programming. The approach combines a state space model of stock price forecasting, a method for determining an opportunity set, and together these constitute a new dynamic portfolio investment decision method. The efficiency and the applicability of the method are verified based on a data sample made up of 35 stocks coming from Chinese stock markets.