A MODEL FOR MARKET CLOSURE AND INTERNATIONAL PORTFOLIO MANAGEMENT WITHIN INCOMPLETE INFORMATION

DOI10.1142/S0219024902001559zbMath1107.91323OpenAlexW2073395620MaRDI QIDQ3022056

Mondher Bellalah, Zhen Wu

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001559

zbMATH Keywords

dynamic programmingportfolio choiceinternational investment

Mathematics Subject Classification ID

Dynamic programming (90C39)

Related Items (4)

On information costs, short sales and the pricing of extendible options, steps and Parisian options ⋮ General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints ⋮ An intertemporal capital asset pricing model under incomplete information and short sales ⋮ A simple model of corporate international investment under incomplete information and taxes

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• A direct method in optimal portfolio and consumption choice

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