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A Model of Multi-Period Investment under Uncertainty

Author

Listed:
  • Bertil Naslund

    (Carnegie Institute of Technology)

  • Andrew Whinston

    (Carnegie Institute of Technology)

Abstract

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.

Suggested Citation

  • Bertil Naslund & Andrew Whinston, 1962. "A Model of Multi-Period Investment under Uncertainty," Management Science, INFORMS, vol. 8(2), pages 184-200, January.
    • Handle: RePEc:inm:ormnsc:v:8:y:1962:i:2:p:184-200
    DOI: 10.1287/mnsc.8.2.184
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    Cited by:

    1. Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
    2. Itami, Hiroyuki, 1974. "Parametric Evaluation and Mean-Standard Deviation Analysis in Stochastic Programming Models," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 9(1), pages 62-82, July.

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