The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method

Carl Chiarella and Chih-Ying Hsiao ()

Computational Economics, 2006, vol. 28, issue 2, 113-137

Keywords: asset allocation; stochastic optimal control; short sale constraints; inflation risk; Markov chain approximation (search for similar items in EconPapers)
Date: 2006
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Working Paper: The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method (2005)
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DOI: 10.1007/s10614-006-9036-4

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