  In this paper, we consider the problem of optimization of a portfolio
consisting of securities. An investor with an initial capital, is interested in
constructing a portfolio of securities. If the prices of securities change, the
investor shall decide on reallocation of the portfolio. At each moment of time,
the prices of securities change and the investor is interested in constructing
a dynamic portfolio of securities. The investor wishes to maximize the value of
his portfolio at the end of time $T$. We use a novel theoretical approach based
on dynamic programming to solve the age old problem of dynamic programming. We
consider two cases i.e. Deterministic and Stochastic to approach the problem
and show how the portfolio is maximized using dynamic programming.
