Optimal Portfolio Choice Under Shadow Costs with Fixed Assets when Time-Horizon Is Uncertain

被引：2
|
作者：
Bellalah, Mondher [1 ,2 ]
Zhang, Detao [3 ]
Zhang, Panpan [4 ]
机构：
[1] Cy Cergy Paris Univ, Cergy, France
[2] ISC Paris Business Sch, Paris, France
[3] Shandong Univ, Sch Econ, Jinan, Peoples R China
[4] Shandong Univ, Sch Control Sci & Engn, Jinan, Peoples R China
来源：
COMPUTATIONAL ECONOMICS | 2020年 / 56卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Optimal portfolio; Asset price; Uncertain time-horizon; Dynamic programming; HJB equation;
D O I：
10.1007/s10614-020-09991-3
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We analyze in this paper the problem of choosing the optimal portfolio for investors under uncertain exit random time. We consider the portfolio choice with fixed assets in the presence of information costs and short sales constraints. This context allows us to focus on the optimal portfolio choice with fixed assets. Investors aim to maximize the ratio between the wealth and the value of the fixed assets. We obtain the optimal portfolio choice strategy with fixed assets when the time horizon is a random exit time. Our results are new in the literature. We illustrate the main findings through some simulation results.
引用
收藏
页码：5 / 20
页数：16
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