Nowadays, stock market investment is governed by investment strategies. An investment strategy consists in following a fixed philosophy over a period of time, and it can have a scientific, statistical or merely heuristic base. No method currently exists which is capable of measuring how good an investment strategy is either objectively or realistically. Through the use of Artificial Intelligenc...

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

This paper investigates a technique for developing investment assumptions for pricing that are consistent with the investment practices of the company. An investment strategy is defined to be a specific allocation of investable funds among given representative fixed-income instruments. The investment strategy problem consists of two parts: how to invest funds initially received on a block of ne...