Multidimensional investment problem

Sören Christensen; Paavo Salminen

doi:10.1007/s11579-017-0195-y

Multidimensional investment problem

Sören Christensen, Paavo Salminen

Tutkimustuotos: Lehtiartikkeli › Artikkeli › Tieteellinen › vertaisarvioitu

5 Sitaatiot (Scopus)

Abstrakti

In this paper we demonstrate that {the Riesz representation of excessive functions is a useful and enlightening tool to study optimal stopping problems. After a short general discussion of the Riesz representation we concretize to geometric Brownian motions. After this, a classical investment problem, also known as exchange-of-baskets-problem, is studied. It is seen that the boundary of the stopping region in this problem can be characterized as a unique solution of an integral equation arising immediately from the Riesz representation of the value function. The two-dimensional case is studied in more detail and a numerical algorithm is presented.

Alkuperäiskieli	Ei tiedossa
Sivut	75–95
Julkaisu	Mathematics and Financial Economics
Vuosikerta	12
Numero	1
DOI - pysyväislinkit	https://doi.org/10.1007/s11579-017-0195-y
Tila	Julkaistu - 2018
OKM-julkaisutyyppi	A1 Julkaistu artikkeli, soviteltu

Pääsy asiakirjaan

10.1007/s11579-017-0195-y

Viittausmuodot

@article{53f356b72b3c43d1b314b978e97c5a3f,

title = "Multidimensional investment problem",

abstract = "In this paper we demonstrate that {the Riesz representation of excessive functions is a useful and enlightening tool to study optimal stopping problems. After a short general discussion of the Riesz representation we concretize to geometric Brownian motions. After this, a classical investment problem, also known as exchange-of-baskets-problem, is studied. It is seen that the boundary of the stopping region in this problem can be characterized as a unique solution of an integral equation arising immediately from the Riesz representation of the value function. The two-dimensional case is studied in more detail and a numerical algorithm is presented.",

author = "S{\"o}ren Christensen and Paavo Salminen",

year = "2018",

doi = "10.1007/s11579-017-0195-y",

language = "Odefinierat/ok{\"a}nt",

volume = "12",

pages = "75–95",

journal = "Mathematics and Financial Economics",

issn = "1862-9679",

publisher = "Springer",

number = "1",

}

TY - JOUR

T1 - Multidimensional investment problem

AU - Christensen, Sören

AU - Salminen, Paavo

PY - 2018

Y1 - 2018

N2 - In this paper we demonstrate that {the Riesz representation of excessive functions is a useful and enlightening tool to study optimal stopping problems. After a short general discussion of the Riesz representation we concretize to geometric Brownian motions. After this, a classical investment problem, also known as exchange-of-baskets-problem, is studied. It is seen that the boundary of the stopping region in this problem can be characterized as a unique solution of an integral equation arising immediately from the Riesz representation of the value function. The two-dimensional case is studied in more detail and a numerical algorithm is presented.

AB - In this paper we demonstrate that {the Riesz representation of excessive functions is a useful and enlightening tool to study optimal stopping problems. After a short general discussion of the Riesz representation we concretize to geometric Brownian motions. After this, a classical investment problem, also known as exchange-of-baskets-problem, is studied. It is seen that the boundary of the stopping region in this problem can be characterized as a unique solution of an integral equation arising immediately from the Riesz representation of the value function. The two-dimensional case is studied in more detail and a numerical algorithm is presented.

U2 - 10.1007/s11579-017-0195-y

DO - 10.1007/s11579-017-0195-y

M3 - Artikel

VL - 12

SP - 75

EP - 95

JO - Mathematics and Financial Economics

JF - Mathematics and Financial Economics

SN - 1862-9679

IS - 1

ER -