The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method

Preprint OPEN
Carl Chiarella; Chih-Ying Hsiao;
(2005)
  • Subject:
    arxiv: Statistics::Other Statistics
    acm: ComputerApplications_MISCELLANEOUS

This paper considers an asset allocation strategy over a finite period under investment uncertainty and short-sale constraints as a continuous time stochastic control problem. Investment uncertainty is characterised by a stochastic interest rate and inflation risk. If t... View more
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