标题:A model for international capital markets closure in an economy with incomplete markets and short sales
作者:Bellalah, Mondher; Zhang, Detao
作者机构:[Bellalah, Mondher] Univ Cergy Pontoise, THEMA, Cergy, France.; [Bellalah, Mondher] ISC Paris, Paris, France.; [Zhang, Detao] Shandong Univ, Sch E 更多
通讯作者:Zhang, D
通讯作者地址:[Zhang, D]Shandong Univ, Sch Econ, Jinan, Shandong, Peoples R China.
来源:ECONOMIC MODELLING
出版年:2017
卷:67
页码:316-324
DOI:10.1016/j.econmod.2017.01.019
关键词:Incomplete markets; Market Closure; Short sales; Optimal control theory;; Dynamic programming
摘要:Using a two-country dynamic optimization model, we investigate the impact of exchange risk, incomplete information and short sales constraints on international portfolio decisions around market closure. Using optimal control theory, we provide solutions and simulation results. Our model can be applied to solve several problems in financial economics in the presence of market closure, information asymmetry and short sales constraints.
收录类别:SCOPUS;SSCI
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85011976848&doi=10.1016%2fj.econmod.2017.01.019&partnerID=40&md5=481e1dfea48702e8f3fe287476528cf3
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