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New approach for multiperiod portfolio optimization with different rates for borrowing and lending.
1. INTRODUCTION
Portfolio selection is defined as selecting a combination of assets among portfolios to reach the investment goal. In a typical portfolio management, one is responsible to allocate funding to different assets by buying and selling them. Modern portfolio theory (MPT) was introduced in 1952 by Harry Markowitz. Markowitz's MPT has led to a new paradigm in portfolio selecting for investors in order to construct a portfolio with the highest expected return at a given level of risk (the lowest level of risk at a given expected return). Markowitz presents three nonlinear models and explained that the unique optimal solution for all three models is equal (Markowitz, 1952, 1956, 1959).There are many researches have been performed by experts in order to solve and develop Markowitz's seminal model. Because of the limitations of a factual market, lots of these attempts have tried to make his model more practic...See the full content of this document
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