A new optimal portfolio selection model with owner-occupied housing

Chi Man Hui, Guangchen Wang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

1 Citation (Scopus)

Abstract

This paper develops a new dynamic optimal portfolio selection model with owner-occupied housing. Such a model has three features: (1) the objective of an agent is to minimize the deviation of her wealth to a certain pre-set financial target by selecting a suitable portfolio strategy; (2) the house price is modeled by a stochastic differential equation with Poisson jump; (3) both full information and partial information are considered. The optimal portfolio strategies with the associated optimal performance functionals are completely and explicitly obtained in terms of some methods arising from stochastic optimal control and backward stochastic differential equation. A numerical example is used to demonstrate the theoretical results.
Original languageEnglish
Pages (from-to)714-723
Number of pages10
JournalApplied Mathematics and Computation
Volume270
DOIs
Publication statusPublished - 1 Nov 2015

Keywords

  • Linear-quadratic optimal control
  • Owner-occupied housing
  • Partial information
  • Poisson process
  • Portfolio selection

ASJC Scopus subject areas

  • Applied Mathematics
  • Computational Mathematics

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