Abstract: 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 constrained programming as an appropriate tool for addressing intrinsic uncertainty in portfolio selection problem is used. To solve this nonlinear programming, Genetic Algorithm is utilized. Numerical experiments are performed and the results are analyzed to present the performance of the proposed methodology.
How to cite this paper
Hassanlou, K. (2017). A multi period portfolio selection using chance constrained programming.Decision Science Letters , 6(3), 221-232.
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