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- W2247401411 abstract "This paper considers an asset allocation strategy over a finite period under investment uncertainty and short-sale constraints as a continuous time stochastic control problem. Investment uncertainty is characterised by a stochastic interest rate and inflation risk. If there are no short-sale constraints, the optimal asset allocation strategy can be solved analytically. We consider several kinds of short-sale constraints and employ the backward Markov chain approximation method to explore the impact of short-sale constraints on asset allocation decisions. Our results show that the short-sale constraints do indeed have a significant impact on the asset allocation decisions." @default.
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- W2247401411 date "2005-11-01" @default.
- W2247401411 modified "2023-09-27" @default.
- W2247401411 title "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method" @default.
- W2247401411 hasPublicationYear "2005" @default.
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