Long term optimal investment with regime switching: inflation, information and short sales.

Autor: Bellalah M; Cy Cergy Paris University, Cergy, France.; ISC Paris Business School, Paris, France., Hakim A; ISC Paris Business School, Paris, France., Si K; School of Mathematics, Shandong University, Jinan, 250100 People's Republic of China., Zhang D; School of Economics, Shandong University, Jinan, 250100 People's Republic of China.
Jazyk: angličtina
Zdroj: Annals of operations research [Ann Oper Res] 2022; Vol. 313 (2), pp. 1373-1386. Date of Electronic Publication: 2020 Jun 28.
DOI: 10.1007/s10479-020-03692-8
Abstrakt: Financial models are based on the standard assumptions of frictionless markets, complete information, no transaction costs and no taxes and borrowing and short selling without restrictions. Short-selling bans around the world after the global financial crisis and in several exchanges during the COVID 19 period, become more and more important. This paper bridges the gap by providing for the first time in the literature a model that accounting explicitly and simultaneously for inflation, information costs and short sales in the portfolio performance with regime switching. Our model can be used by portfolio managers to assess the impact of these market imperfections on portfolio decisions.
(© Springer Science+Business Media, LLC, part of Springer Nature 2020.)
Databáze: MEDLINE
Externí odkaz:
Nepřihlášeným uživatelům se plný text nezobrazuje