Discrete Analysis of Portfolio Selection with Optimal Stopping Time. (16th March 2009)

• Record Type: Journal Article
• Authors: Liang, Jianfeng
• Other Names: Yu Lean Academic Editor.
• Is Part Of: Journal of applied mathematics & decision sciences. Volume 2009(2009)
• Publication Date: 2009-03-16
• Subjects: Operations research -- Periodicals; Mathematical models -- Periodicals; Statistics -- Periodicals; Quality control -- Periodicals; Mathematical models; Operations research; Quality control; Statistics; Periodicals; 519.05
• DOI: 10.1155/2009/609196
• Languages: English
• ISSNs: 1173-9126

Abstract

Abstract : 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.