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

UTSePress Research/Manakin Repository

Search UTSePress Research


Advanced Search

Browse

My Account

Show simple item record

dc.contributor.author Chiarella, Carl en_US
dc.contributor.author Hsiao, Chih-Ying en_US
dc.date.accessioned 2009-12-21T02:36:53Z
dc.date.available 2009-12-21T02:36:53Z
dc.date.issued 2006 en_US
dc.identifier 2006004616 en_US
dc.identifier.citation Chiarella Carl and Hsiao Chih-Ying 2006, 'The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method', Springer New York LLC, vol. 28, no. 2, pp. 113-137. en_US
dc.identifier.issn 0927-7099 en_US
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. en_US
dc.publisher Springer New York LLC en_US
dc.relation.isbasedon http://dx.doi.org/10.1007/s10614-006-9036-4 en_US
dc.title The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method en_US
dc.parent Computational Economics en_US
dc.journal.volume 28 en_US
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.for 140300 en_US
dc.personcode 716350 en_US
dc.personcode 997772 en_US
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords asset allocation; stochastic optimal control; short sale constraints; inflation risk; Markov chain approximation en_US
dc.staffid 997772 en_US


Files in this item

This item appears in the following Collection(s)

Show simple item record