Portfolio Selection Model with Optimal Stopping Time

摘要

Most of the investments in practice are carried out without certain horizons.There are many factors to drive investment to a stop.In this paper,we consider a portfolio selection policy with marketrelated stopping time.Particularly,we assume that the investor exits the market once his wealth reaches a given investment target or falls below a bankruptcy threshold.Our objective is to minimize the expected time that the investment target is obtained,at the same time,we guarantee the probability that the goal is reached before bankruptcy happens is no less than a given level.We formulate the problem as a mix integer linear programming model,and make analysis of the model.