Sensitivity Analyses and Electronic Implementations of Optimal Investment Strategies and Rewards for a Certain Dynamic Class of Probabilistic Investment Problems

Abstract

This article designed and implemented Excel solution templates for optimal investment strategies and the corresponding optimal rewards, for the largest class of certain probabilistic dynamic investment problems for practical and realistic consideration, using backward recursive dynamic programming. It went further to optimally deploy the templates for sensitivity analysis of the problem, in a matter of minutes. These activities could hardly be contemplated in manual computations. The templates reflected and demonstrated consistency with the base results.