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

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dc.contributor.author Chiarella, C
dc.contributor.author Hsiao, C
dc.date.accessioned 2009-12-21T02:36:53Z
dc.date.issued 2006-01
dc.identifier.citation Computational Economics, 2006, 28 (2), pp. 113 - 137
dc.identifier.issn 0927-7099
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5156
dc.description.abstract 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.
dc.publisher Springer New York LLC
dc.relation.isbasedon 10.1007/s10614-006-9036-4
dc.title The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
dc.type Journal Article
dc.description.version Published
dc.parent Computational Economics
dc.journal.volume 2
dc.journal.volume 28
dc.journal.number 2 en_US
dc.publocation New York, USA en_US
dc.identifier.startpage 113 en_US
dc.identifier.endpage 137 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.conference IEEE/RSJ International Conference on Intelligent Robots and Systems
dc.for 1403 Econometrics
dc.personcode 997772
dc.personcode 716350
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.date.activity 2006-10-09
dc.location.activity Beijing, PEOPLES R CHINA
dc.description.keywords asset allocation; stochastic optimal control; short sale constraints; inflation risk; Markov chain approximation en_US
dc.description.keywords Science & Technology
dc.description.keywords Technology
dc.description.keywords Automation & Control Systems
dc.description.keywords Computer Science, Artificial Intelligence
dc.description.keywords Robotics
dc.description.keywords Computer Science
dc.description.keywords optimal searcher path problem
dc.description.keywords target search
dc.description.keywords branch and bound
dc.description.keywords CONSTRAINED-PATH
dc.description.keywords asset allocation
dc.description.keywords stochastic optimal control
dc.description.keywords short sale constraints
dc.description.keywords inflation risk
dc.description.keywords Markov chain approximation
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)


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