کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
966938 | 931125 | 2008 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal investment decisions when time-horizon is uncertain
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Many investors do not know with certainty when their portfolio will be liquidated. Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable extension of the familiar optimal investment problem of Merton [Merton, R.C., 1971. Optimal consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3, 373-413], where we allow the conditional distribution function of an agent's time-horizon to be stochastic and correlated to returns on risky securities. In contrast to existing literature, which has focused on an independent time-horizon, we show that the portfolio decision is affected.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 44, Issue 11, 1 December 2008, Pages 1100-1113
Journal: Journal of Mathematical Economics - Volume 44, Issue 11, 1 December 2008, Pages 1100-1113
نویسندگان
Christophette Blanchet-Scalliet, Nicole El Karoui, Monique Jeanblanc, Lionel Martellini,