The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method

DOI10.1007/S10614-006-9036-4zbMATH Open1138.91021OpenAlexW1967701631MaRDI QIDQ857737FDOQ857737

Chih-Ying Hsiao, Carl Chiarella

Publication date: 20 December 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp171.pdf

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zbMATH Keywords

asset allocationstochastic optimal controlinflation riskMarkov chain approximationshort sale constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Title not available (Why is that?)
• Optimum consumption and portfolio rules in a continuous-time model
• An Intertemporal Capital Asset Pricing Model
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• An approximation scheme for the optimal control of diffusion processes
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Computational aspects in applied stochastic control
• Probability methods for approximations in stochastic control and for elliptic equations

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