A multi period portfolio selection using chance constrained programming
This paper considers a portfolio selection problem with normally distributed returns and different rates for borrowing and lending. The primary concern is to determine the amount of investment in different planning horizons when the rate of borrowing is greater than the rate of lending. Chance const...
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| Format: | Article |
| Language: | English |
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Growing Science
2017-06-01
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| Series: | Decision Science Letters |
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| Online Access: | http://www.growingscience.com/dsl/Vol6/dsl_2017_1.pdf |