Long term optimal investment with regime switching: inflation, information and short sales

Financial models are based on the standard assumptions of frictionless markets, complete information, no transaction costs and no taxes and borrowing and short selling without restrictions. Short-selling bans around the world after the global financial crisis and in several exchanges during the COVI...

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Detalles Bibliográficos
Autores principales: Bellalah, Mondher, Hakim, Akeb, Si, Kehan, Zhang, Detao
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2020
Materias:
S.I.: Risk Management Decisions and Value under Uncertainty
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7321651/
https://www.ncbi.nlm.nih.gov/pubmed/32836616
http://dx.doi.org/10.1007/s10479-020-03692-8
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author Bellalah, Mondher
Hakim, Akeb
Si, Kehan
Zhang, Detao
author_facet Bellalah, Mondher
Hakim, Akeb
Si, Kehan
Zhang, Detao
author_sort Bellalah, Mondher
collection PubMed
description Financial models are based on the standard assumptions of frictionless markets, complete information, no transaction costs and no taxes and borrowing and short selling without restrictions. Short-selling bans around the world after the global financial crisis and in several exchanges during the COVID 19 period, become more and more important. This paper bridges the gap by providing for the first time in the literature a model that accounting explicitly and simultaneously for inflation, information costs and short sales in the portfolio performance with regime switching. Our model can be used by portfolio managers to assess the impact of these market imperfections on portfolio decisions.
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spelling pubmed-73216512020-06-29 Long term optimal investment with regime switching: inflation, information and short sales Bellalah, Mondher Hakim, Akeb Si, Kehan Zhang, Detao Ann Oper Res S.I.: Risk Management Decisions and Value under Uncertainty Financial models are based on the standard assumptions of frictionless markets, complete information, no transaction costs and no taxes and borrowing and short selling without restrictions. Short-selling bans around the world after the global financial crisis and in several exchanges during the COVID 19 period, become more and more important. This paper bridges the gap by providing for the first time in the literature a model that accounting explicitly and simultaneously for inflation, information costs and short sales in the portfolio performance with regime switching. Our model can be used by portfolio managers to assess the impact of these market imperfections on portfolio decisions. Springer US 2020-06-28 2022 /pmc/articles/PMC7321651/ /pubmed/32836616 http://dx.doi.org/10.1007/s10479-020-03692-8 Text en © Springer Science+Business Media, LLC, part of Springer Nature 2020 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle S.I.: Risk Management Decisions and Value under Uncertainty
Bellalah, Mondher
Hakim, Akeb
Si, Kehan
Zhang, Detao
Long term optimal investment with regime switching: inflation, information and short sales
title Long term optimal investment with regime switching: inflation, information and short sales
title_full Long term optimal investment with regime switching: inflation, information and short sales
title_fullStr Long term optimal investment with regime switching: inflation, information and short sales
title_full_unstemmed Long term optimal investment with regime switching: inflation, information and short sales
title_short Long term optimal investment with regime switching: inflation, information and short sales
title_sort long term optimal investment with regime switching: inflation, information and short sales
topic S.I.: Risk Management Decisions and Value under Uncertainty
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7321651/
https://www.ncbi.nlm.nih.gov/pubmed/32836616
http://dx.doi.org/10.1007/s10479-020-03692-8
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