Multi-period Probability Criterion Dynamic Portfolio Selection In Stochastic Market

A large number of scholars and practitioners have tried to describeconditions and changes in the capital market, using the concept of stochas-tic market, for which they have also made the relevant test. Among them,a Markov chain is used to describe the state of the market, and the con-version between the various states will be decided by the transfer matrix.This is a very clear and meaningful idea, and empirical analysis shows thatthe assumption can indeed describe the dynamic changes of the market,to a certain extent. Therefore, the application of this assumption is verysuitable for the description of the market in a multi-stage model of discreteportfolio selection.Based on the assumptions of stochastic market, this thesis uses a crite-rion called probability criterion, in which an investor will seek to maximizethe probability that the terminal wealth will exceed a preset level. Andthis criterion is widely thought to make sense when describing the deci-sions made by the investors who can bear some level of risk. Among theseinvestors, they will seek to maximize the probability of getting more excelreturn when taking extra risk.We build a multi-period portfolio selection problem, based on theprobability criterion. Because this model can not be dealt with efficiently,...