Article ID: | iaor2007774 |
Country: | Netherlands |
Volume: | 171 |
Issue: | 3 |
Start Page Number: | 977 |
End Page Number: | 990 |
Publication Date: | Jun 2006 |
Journal: | European Journal of Operational Research |
Authors: | Soyer Refik, Tanyeri Kadir |
Keywords: | decision theory: multiple criteria, programming: dynamic |
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.