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Title: A new optimal portfolio selection model with owner-occupied housing
Authors: Hui, CM 
Wang, G
Keywords: Linear-quadratic optimal control
Owner-occupied housing
Partial information
Poisson process
Portfolio selection
Issue Date: 2015
Publisher: Elsevier
Source: Applied mathematics and computation, 2015, v. 270, p. 714-723 How to cite?
Journal: Applied mathematics and computation 
Abstract: This paper develops a new dynamic optimal portfolio selection model with owner-occupied housing. Such a model has three features: (1) the objective of an agent is to minimize the deviation of her wealth to a certain pre-set financial target by selecting a suitable portfolio strategy; (2) the house price is modeled by a stochastic differential equation with Poisson jump; (3) both full information and partial information are considered. The optimal portfolio strategies with the associated optimal performance functionals are completely and explicitly obtained in terms of some methods arising from stochastic optimal control and backward stochastic differential equation. A numerical example is used to demonstrate the theoretical results.
ISSN: 0096-3003
EISSN: 1873-5649
DOI: 10.1016/j.amc.2015.08.075
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