Discrete Analysis of Portfolio Selection with Optimal Stopping Time
Author
Source
Journal of Applied Mathematics and Decision Sciences
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2009-04-05
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Most of the investments in practice are carried out without certain horizons.
There are many factors to drive investment to a stop.
In this paper, we consider a portfolio selection policy with market-related stopping time.
Particularly, we assume that the investor exits the market once his wealth reaches a given investment target or falls below a bankruptcy threshold.
Our objective is to minimize the expected time when the investment target is obtained, at the same time, we guarantee the probability that bankruptcy happens is no larger than a given level.
We formulate the problem as a mix integer linear programming model and make analysis of the model by using a numerical example.
American Psychological Association (APA)
Liang, Jianfeng. 2009. Discrete Analysis of Portfolio Selection with Optimal Stopping Time. Journal of Applied Mathematics and Decision Sciences،Vol. 2009, no. 2009, pp.1-9.
https://search.emarefa.net/detail/BIM-484817
Modern Language Association (MLA)
Liang, Jianfeng. Discrete Analysis of Portfolio Selection with Optimal Stopping Time. Journal of Applied Mathematics and Decision Sciences No. 2009 (2009), pp.1-9.
https://search.emarefa.net/detail/BIM-484817
American Medical Association (AMA)
Liang, Jianfeng. Discrete Analysis of Portfolio Selection with Optimal Stopping Time. Journal of Applied Mathematics and Decision Sciences. 2009. Vol. 2009, no. 2009, pp.1-9.
https://search.emarefa.net/detail/BIM-484817
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-484817
