Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/79804
Title: Optimal stopping investment in a logarithmic utility-based portfolio selection problem
Authors: Li, X 
Wu, XP
Zhou, WX 
Keywords: Optimal stopping
Path-dependent
Stochastic differential equation (SDE)
Time-change
Portfolio selection
Issue Date: 2017
Publisher: Springer
Source: Financial innovation, Dec. 2017, v. 3, no. 1, UNSP 28 How to cite?
Journal: Financial innovation 
Abstract: Background: In this paper, we study the right time for an investor to stop the investment over a given investment horizon so as to obtain as close to the highest possible wealth as possible, according to a Logarithmic utility-maximization objective involving the portfolio in the drift and volatility terms. The problem is formulated as an optimal stopping problem, although it is non-standard in the sense that the maximum wealth involved is not adapted to the information generated over time.
Methods: By delicate stochastic analysis, the problem is converted to a standard optimal stopping one involving adapted processes.
Results: Numerical examples shed light on the efficiency of the theoretical results.
Conclusion: Our investment problem, which includes the portfolio in the drift and volatility terms of the dynamic systems, makes the problem including multi-dimensional financial assets more realistic and meaningful.
URI: http://hdl.handle.net/10397/79804
EISSN: 2199-4730
DOI: 10.1186/s40854-017-0080-y
Appears in Collections:Journal/Magazine Article

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

Page view(s)

3
Citations as of Jan 14, 2019

Google ScholarTM

Check

Altmetric


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