Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/79804
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dc.contributorDepartment of Applied Mathematics-
dc.creatorLi, X-
dc.creatorWu, XP-
dc.creatorZhou, WX-
dc.date.accessioned2018-12-21T07:13:26Z-
dc.date.available2018-12-21T07:13:26Z-
dc.identifier.urihttp://hdl.handle.net/10397/79804-
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.rightsThe 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.rightsThe 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-yen_US
dc.subjectOptimal stoppingen_US
dc.subjectPath-dependenten_US
dc.subjectStochastic differential equation (SDE)en_US
dc.subjectTime-changeen_US
dc.subjectPortfolio selectionen_US
dc.titleOptimal stopping investment in a logarithmic utility-based portfolio selection problemen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage1en_US
dc.identifier.epage10en_US
dc.identifier.volume3en_US
dc.identifier.issue1en_US
dc.identifier.doi10.1186/s40854-017-0080-yen_US
dcterms.abstractBackground: 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.abstractMethods: By delicate stochastic analysis, the problem is converted to a standard optimal stopping one involving adapted processes.-
dcterms.abstractResults: Numerical examples shed light on the efficiency of the theoretical results.-
dcterms.abstractConclusion: 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.accessRightsopen accessen_US
dcterms.bibliographicCitationFinancial innovation, Dec. 2017, v. 3, no. 1, 28, p. 1-10-
dcterms.isPartOfFinancial innovation-
dcterms.issued2017-
dc.identifier.isiWOS:000423566800008-
dc.identifier.scopus2-s2.0-85058474034-
dc.identifier.eissn2199-4730en_US
dc.identifier.artnUNSP 28en_US
dc.identifier.rosgroupid2017000104-
dc.description.ros2017-2018 > Academic research: refereed > Publication in refereed journal-
dc.description.validate201812 bcrcen_US
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumberOA_IR/PIRAen_US
dc.description.pubStatusPublisheden_US
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