Multiperiod dynamic investment for a generalized situation

This study aims to demonstrate the optimal multiperiod dynamic asset allocation for a generalized situation and enable the investor to maximize his expected terminal wealth utility. Previous researches solved this problem constrained by the investor's utility function, the asset return distributions, the completeness of the market, the lack of transaction costs and other factors. Accordingly, this study considers a generalized situation where all the constraints are relaxed and provides a calculation process for solving this problem.