The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
type: Item
instance of: scholarly article
title: The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
zbMATH Open document ID: 1138.91021
author: Chih-Ying Hsiao
author: Carl Chiarella
published in: Computational Economics
publication date: 2006-12-20T00:00:00Z
full work available at URL: QFR-rp171.pdf
review text: This paper deals with asset allocation strategies, under stochastic interest rate and inflation risks. In particular, the authors investigate the effect of short sale constraints on asset allocation strategies. Under no short sale constraints, they provide an optimal strategy analytically through the Hamilton-Jacobi-Bellman equation. They consider several kinds of short sale constraints and explore the impact of these constraints on asset allocation strategies, applying the backward Markov chain approximation method with iteration scheme. Various kinds of numerical examples, showing significant effects on strategies, are presented.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5080823
zbMATH Keywords: asset allocation
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: short sale constraints
zbMATH Keywords: inflation risk
zbMATH Keywords: Markov chain approximation
reviewed by: Makiko Nisio
MaRDI profile type: Publication
OpenAlex ID: W1967701631
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DOI: 10.1007/S10614-006-9036-4
description: scientific article; zbMATH DE number 5080823