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Title: Optimal stopping investment in a logarithmic utility-based portfolio selection problem
Authors: Li, X 
Wu, XP
Zhou, WX 
Keywords: Optimal stopping
Stochastic differential equation (SDE)
Portfolio selection
Issue Date: 2017
Publisher: Springer
Source: Financial innovation, Dec. 2017, v. 3, no. 1, 28, p. 1-10 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.
EISSN: 2199-4730
DOI: 10.1186/s40854-017-0080-y
Rights: The Author(s). 2017 Open AccessThis article is distributed under the terms of the Creative Commons Attribution 4.0International License (, which permits unrestricted use, distribution, andreproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to theCreative Commons license, and indicate if changes were made.
The following publication Li, X., Wu, X. P., & Zhou, W. X. (2017). Optimal stopping investment in a logarithmic utility-based portfolio selection problem. Financial Innovation, 3(1), 28, 1-10 is available at
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