The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method
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- Carl Chiarella & Chih-Ying Hsiao, 2005. "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method," Research Paper Series 171, Quantitative Finance Research Centre, University of Technology, Sydney.
References listed on IDEAS
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More about this item
Keywordsasset allocation; stochastic optimal control; short sale constraints; inflation risk; Markov chain approximation;
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