A study on investment problem in chaos environment

Investment problem is one of the most important and interesting optimization problems. This problem becomes more difficult when we deal with it in an uncertain and vague environment with chaos data. This paper attempts to study the investment problem with uncertain return data. These data are represented as chaos numbers. Dynamic programming is applied to obtain the optimal policy and the corresponding best return. Finally, a numerical example is given to illustrate the utility, effectiveness, and applicability of the approach to the problem.

Keywords:

Investment problem , Chaos numbers , Dynamic programming , Optimal Policy , Best return