Multi-period portfolio optimization when exit time is uncertain
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    Abstract:

    The paper studies a multi_period portfolio optimization problem with uncertain exit time. With the assumption that the exit time is a random variable obeying some distribution this problem of uncertain exit time is translated into a determinate horizon one. Then the classical methods can be used to solve this model. By applying the dynamic programming principle we obtain the optimal investment strategy and the analytical expression of efficient frontier. Through an example we also prove that this paper is ...

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