en پژوهشي Research <span style="FONT-SIZE: 14pt FONT-FAMILY: "Rockwell Extra Bold" mso-fareast-font-family: 'Times New Roman' mso-ansi-language: EN-US mso-fareast-language: EN-US mso-bidi-language: FA mso-bidi-font-family: 'Times New Roman' text-shadow: auto"><a name="_Hlk270494303"><span style="FONT-SIZE: 11pt FONT-FAMILY: "Times New Roman" mso-fareast-font-family: 'Times New Roman' mso-ansi-language: EN-US mso-fareast-language: EN-US mso-bidi-language: FA">Portfolio management is one of the most important areas of research in financial engineering. This paper is concerned with multi period decision problem for financial asset allocation when the rate of borrowing is greater than the rate of lending. Transaction costs as a source of concern for portfolio managers is also considered in this paper. The proposed method of this paper is formulated in a form of dynamic linear programming which is capable of determining the amount of investment in different time periods. The method is also implemented using some numerical examples and the output results are discussed<span style="COLOR: black"><font face="Times New Roman" size="3">.</font></span></span></a></span> multi period portfolio selection, Borrowing / Lending, transaction cost 45 51 http://ijiepr.iust.ac.ir/browse.php?a_code=A-10-9-1&slc_lang=en&sid=1 S.M. Seyedhosseini seyedhosseini@iust.ac.ir 18003194753284600585 18003194753284600585 Yes S. J. Sadjadi sjsadjadi@iust.ac.ir 18003194753284600657 18003194753284600657 No Kh. Hassanlou kh_hassanlou@iust.ac.ir 18003194753284600658 18003194753284600658 No