英文标题：
《Dynamic optimization of a portfolio》
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作者：
Oleg Malafeyev, Achal Awasthi
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最新提交年份：
2017
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英文摘要：
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor shall decide on reallocation of the portfolio. At each moment of time, the prices of securities change and the investor is interested in constructing a dynamic portfolio of securities. The investor wishes to maximize the value of his portfolio at the end of time $T$. We use a novel theoretical approach based on dynamic programming to solve the age old problem of dynamic programming. We consider two cases i.e. Deterministic and Stochastic to approach the problem and show how the portfolio is maximized using dynamic programming.
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中文摘要：
在本文中，我们考虑由证券组成的投资组合的优化问题。拥有初始资本的投资者对构建证券投资组合感兴趣。如果证券价格发生变化，投资者应决定重新分配投资组合。在每一个时刻，证券价格都会发生变化，投资者对构建动态证券组合感兴趣。投资者希望在时间结束时将其投资组合的价值最大化，即新台币。我们使用一种基于动态规划的新理论方法来解决由来已久的动态规划问题。我们考虑了两种情况，即确定性和随机性来处理该问题，并展示了如何使用动态规划使投资组合最大化。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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