期刊名称：Petroleum-Gas University of Ploiesti Bulletin : Economic Sciences Series
印刷版ISSN：2284-8576
电子版ISSN：2247-8582
出版年度：2021
卷号：10
期号：1
页码：31-41
DOI：10.51865/EITC.2021.01.04
语种：English
出版社：Petroleum-Gas University of Ploiesti
摘要：The classic problem of optimizing a portfolio can be extended to a multi-stage programming problem. The purpose of the multi-period portfolio optimization problem is to determine the optimal portfolio for a certain finite time horizon. In a multi-period model in which investors are allowed to change the composition of the portfolio, it is essential to take into account trading costs, a solution in this regard being the use of tree-type scenarios. The study undertaken by the authors considered the construction of a portfolio optimization model in case there is a certain constraint on returns. ARMA type processes were used to model the conditional mean equation.
