会议专题

Portfolio Selection Model with Optimal Stopping Time

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 marketrelated 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 that the investment target is obtained,at the same time,we guarantee the probability that the goal is reached before bankruptcy happens is no less than a given level.We formulate the problem as a mix integer linear programming model,and make analysis of the model.

portfolio selection stopping time scenarios tree dynamic programming

Jianfeng Liang

Lingnan College,Sun Yat-Sen University,Guangzhou,China

国际会议

The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

长沙

英文

228-235

2008-10-28(万方平台首次上网日期,不代表论文的发表时间)