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Multiperiod dynamic investment for a generalized situation

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  • Hung-Hsi Huang
  • David Jou

Abstract

This study aims to demonstrate the optimal multiperiod dynamic asset allocation for a generalized situation and enable the investor to maximize his expected terminal wealth utility. Previous researches solved this problem constrained by the investor's utility function, the asset return distributions, the completeness of the market, the lack of transaction costs and other factors. Accordingly, this study considers a generalized situation where all the constraints are relaxed and provides a calculation process for solving this problem.

Suggested Citation

  • Hung-Hsi Huang & David Jou, 2009. "Multiperiod dynamic investment for a generalized situation," Applied Financial Economics, Taylor & Francis Journals, vol. 19(21), pages 1761-1766.
    • Handle: RePEc:taf:apfiec:v:19:y:2009:i:21:p:1761-1766
    DOI: 10.1080/09603100802599654
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    References listed on IDEAS

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    7. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
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