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CLC number: F833.5
On-line Access: 2024-08-27
Received: 2023-10-17
Revision Accepted: 2024-05-08
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A dynamic decision model for portfolio investment and assets management
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QIAN Edward Y., FENG Ying, HIGGISION James. A dynamic decision model for portfolio investment and assets management[J]. Journal of Zhejiang University Science A, 2005, 6(100): 163-171.
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author="QIAN Edward Y., FENG Ying, HIGGISION James",
journal="Journal of Zhejiang University Science A",
volume="6",
number="100",
pages="163-171",
year="2005",
publisher="Zhejiang University Press & Springer",
doi="10.1631/jzus.2005.AS0163"
}
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DOI - 10.1631/jzus.2005.AS0163
Abstract: This paper addresses a dynamic portfolio investment problem. It discusses how we can dynamically choose candidate assets, achieve the possible maximum revenue and reduce the risk to the minimum level. The paper generalizes Markowitz’s portfolio selection theory and Sharpe’s rule for investment decision. An analytical solution is presented to show how an institutional or individual investor can combine Markowitz’s portfolio selection theory, generalized Sharpe’s rule and value-at-Risk (VaR) to find candidate assets and optimal level of position sizes for investment (dis-investment). The result shows that the generalized Markowitz’s portfolio selection theory and generalized Sharpe’s rule improve decision making for investment.
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