Problem of two period investment decision-making with probability criterion
Han Qi · 2002
Probability criterion is an investment decision making criterion of investors in some cases, it has practical significance, its investment decision making is determined by the expected return rate. Generally speaking, different investors will have different expected return rates, the security's return rates in different periods will have different probability distributions and correlation to each other. In this paper, a problem of two period investment decision making with probability criterion is proposed, its mathematical model of an optimal investment decision making is established. For continuous or discrete random variable of security's return rate, the steps for investment decision making are derived. Finally, an illustrative example is given.