Optimal stopping investment in a logarithmic utility-based portfolio selection problem

Xun Li, Xianping Wu, Wenxin Zhou

Research output: Journal article publicationJournal articleAcademic researchpeer-review

4 Citations (Scopus)


Background: In this paper, we study the right time for an investor to stop the investment over a given investment horizon so as to obtain as close to the highest possible wealth as possible, according to a Logarithmic utility-maximization objective involving the portfolio in the drift and volatility terms. The problem is formulated as an optimal stopping problem, although it is non-standard in the sense that the maximum wealth involved is not adapted to the information generated over time. Methods: By delicate stochastic analysis, the problem is converted to a standard optimal stopping one involving adapted processes. Results: Numerical examples shed light on the efficiency of the theoretical results. Conclusion: Our investment problem, which includes the portfolio in the drift and volatility terms of the dynamic systems, makes the problem including multi-dimensional financial assets more realistic and meaningful.

Original languageEnglish
Article number28
Pages (from-to)1-10
Number of pages10
JournalFinancial Innovation
Issue number1
Publication statusPublished - 27 Nov 2017


  • Optimal stopping
  • Path-dependent
  • Portfolio selection
  • Stochastic differential equation (SDE)
  • Time-change

ASJC Scopus subject areas

  • Finance
  • Management of Technology and Innovation

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