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A dynamic programming approach for investment problem with stochastic number of investment chances

Publish Year: 1392
Type: Conference paper
Language: English
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Document National Code:

IIEC10_331

Index date: 1 September 2014

A dynamic programming approach for investment problem with stochastic number of investment chances abstract

This paper uses a dynamic programming (DP) approach to obtain the optimal policies for an investor who faces a stochastic number of investing chances (with Poisson distribution) and a stochastic profit for every chance occurring (with uniform distribution). First a model with deterministic number of investing chances is introduced. Then an approach is developed for obtaining optimal solutions for stochastic model using the concept of conditioning. For more clarity a numerical example is presented.

A dynamic programming approach for investment problem with stochastic number of investment chances Keywords:

A dynamic programming approach for investment problem with stochastic number of investment chances authors

Mohammad Modarres

Professor, Department of Industrial Engineering Sharif University of Technology Tehran, Iran

Mohammad Feizabadi

Master Student; Department of Industrial Engineering Sharif University of Technology Tehran, Iran

Reza Yousefi Maragheh

Master Student; Department of Industrial Engineering Sharif University of Technology Tehran, Iran