Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/63880
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.
URI: http://hdl.handle.net/10397/63880
ISSN: 0096-3003
EISSN: 1873-5649
DOI: 10.1016/j.amc.2015.08.075
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

Page view(s)

66
Last Week
1
Last month
Checked on Aug 14, 2017

Google ScholarTM

Check

Altmetric



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.