A Model of Multi-Period Investment under Uncertainty

This paper explores rational decision making for investment in the stock market. The first part is concerned with problems of a methodological nature, mainly dealing with the relationship between normative models and operations research. The major part explores a particular model and the various features the model possesses. The interpretation and use of a dual prices in a stochastic programming model is discussed. The final part will suggest various possible extensions into other areas.

• 저널Management Science · 8(2) · 184–200
• 토픽Capital Investment and Risk Analysis · Finance
• DOI10.1287/mnsc.8.2.184
• 저자Bertil Näslund, Andrew B. Whinston