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

DOI10.1007/S10614-006-9036-4zbMath1138.91021OpenAlexW1967701631MaRDI QIDQ857737

Chih-Ying Hsiao, Carl Chiarella

Publication date: 20 December 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp171.pdf

zbMATH Keywords

stochastic optimal controlshort sale constraintsinflation riskMarkov chain approximationasset allocation

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Probability methods for approximations in stochastic control and for elliptic equations
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Computational aspects in applied stochastic control
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An approximation scheme for the optimal control of diffusion processes
• An Intertemporal Capital Asset Pricing Model
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