کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4626281 | 1631784 | 2015 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A new optimal portfolio selection model with owner-occupied housing
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper develops a new dynamic optimal portfolio selection model with owner-occupied housing. Such a model has three features: (1) the objective of an agent is to minimize the deviation of her wealth to a certain pre-set financial target by selecting a suitable portfolio strategy; (2) the house price is modeled by a stochastic differential equation with Poisson jump; (3) both full information and partial information are considered. The optimal portfolio strategies with the associated optimal performance functionals are completely and explicitly obtained in terms of some methods arising from stochastic optimal control and backward stochastic differential equation. A numerical example is used to demonstrate the theoretical results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 270, 1 November 2015, Pages 714–723
Journal: Applied Mathematics and Computation - Volume 270, 1 November 2015, Pages 714–723
نویسندگان
Eddie C.M. Hui, Guangchen Wang,