On a non-linear recursive programming approach for dynamic portfolio investment

On a non-linear recursive programming approach for dynamic portfolio investment

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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: , ,
Abstract:

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.

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