Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/79804
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | - |
dc.creator | Li, X | - |
dc.creator | Wu, XP | - |
dc.creator | Zhou, WX | - |
dc.date.accessioned | 2018-12-21T07:13:26Z | - |
dc.date.available | 2018-12-21T07:13:26Z | - |
dc.identifier.uri | http://hdl.handle.net/10397/79804 | - |
dc.language.iso | en | en_US |
dc.publisher | Springer | en_US |
dc.rights | The Author(s). 2017 Open AccessThis article is distributed under the terms of the Creative Commons Attribution 4.0International License (http://creativecommons.org/licenses/by/4.0/), 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. | en_US |
dc.rights | 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 https://dx.doi.org/10.1186/s40854-017-0080-y | en_US |
dc.subject | Optimal stopping | en_US |
dc.subject | Path-dependent | en_US |
dc.subject | Stochastic differential equation (SDE) | en_US |
dc.subject | Time-change | en_US |
dc.subject | Portfolio selection | en_US |
dc.title | Optimal stopping investment in a logarithmic utility-based portfolio selection problem | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 1 | en_US |
dc.identifier.epage | 10 | en_US |
dc.identifier.volume | 3 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.doi | 10.1186/s40854-017-0080-y | en_US |
dcterms.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. | - |
dcterms.abstract | Methods: By delicate stochastic analysis, the problem is converted to a standard optimal stopping one involving adapted processes. | - |
dcterms.abstract | Results: Numerical examples shed light on the efficiency of the theoretical results. | - |
dcterms.abstract | 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. | - |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Financial innovation, Dec. 2017, v. 3, no. 1, 28, p. 1-10 | - |
dcterms.isPartOf | Financial innovation | - |
dcterms.issued | 2017 | - |
dc.identifier.isi | WOS:000423566800008 | - |
dc.identifier.scopus | 2-s2.0-85058474034 | - |
dc.identifier.eissn | 2199-4730 | en_US |
dc.identifier.artn | UNSP 28 | en_US |
dc.identifier.rosgroupid | 2017000104 | - |
dc.description.ros | 2017-2018 > Academic research: refereed > Publication in refereed journal | - |
dc.description.validate | 201812 bcrc | en_US |
dc.description.oa | Version of Record | en_US |
dc.identifier.FolderNumber | OA_IR/PIRA | en_US |
dc.description.pubStatus | Published | en_US |
Appears in Collections: | Journal/Magazine Article |
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Li_Stopping_Logarithmic_Utility-based.pdf | 681.43 kB | Adobe PDF | View/Open |
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