A Method of Improved Decision Tree on the Problem of Portfolio Investment about Utility
TU Xin-shu · 2007
In this paper, based on the model of Markowitz's Portfolio Investment,We proposed the improved decision tree method under the mean-variance utility function and the decision tree method in decision theory. We discussed and analysised the process of improvement and solution. The new method not only discussed how to select the optimal portfolio decision, but also rank the alternatives of the portfolio investment set