Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)
- Volume 6 Issue 2
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- Pages.35-49
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- 1981
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- 1225-1119(pISSN)
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- 2733-4759(eISSN)
A Multi-period Behavioral Model for Portfolio Selection Problem
- Pederzoli, G. (Concordia University) ;
- Srinivasan, R. (Concordia University)
- Published : 1981.10.01
Abstract
This paper is concerned with developing a Multi-period Behavioral Model for the portfolio selection problem. The unique feature of the model is that it treats a number of factors and decision variables considered germane in decision making on an interrelated basis. The formulated problem has the structure of a Chance Constrained programming Model. Then empoloying arguments of Central Limit Theorem and normality assumption the stochastic model is reduced to that of a Non-Linear Programming Model. Finally, a number of interesting properties for the reduced model are established.
Keywords