TY - JOUR AB - 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 there are no short-sale constraints, the optimal asset allocation strategy can be obtained analytically. We consider several kinds of short-sale constraints and employ the backward Markov chain approximation method to explore the impact of short-sale constraints on asset allocation decisions. Our results show that the short-sale constraints do indeed have a significant impact on these decisions. AU - Chiarella, C AU - Hsiao, C DA - 2006/01/01 DO - 10.1007/s10614-006-9036-4 EP - 137 JO - Computational Economics PB - Springer New York LLC PY - 2006/01/01 SP - 113 TI - The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method VL - 28 Y1 - 2006/01/01 Y2 - 2024/03/29 ER -