  This article is the term paper of the course Investments. We mainly focus on
modeling long-term investment decisions of a typical utility-maximizing
individual, with features of Chinese stock market in perspective. We adopt an
OR based methodology with market information as input parameters to carry out
the solution. Two main features of this article are: first, we take the no
short-sell constraint in Chinese stock market into consideration and use an
approach otherwise identical to Markowitz to work out the optimal portfolio
choice; this method has critical and practical implication to Chinese
investors. Second, we incorporate the benefits of multiple assets into one
single well-defined utility function and use a MIQP procedure to derive the
optimal allocation of funds upon each of them along the time-line.
