A model for international capital markets closure in an economy with incomplete markets and short sales

作者：Bellalah Mondher; Zhang Detao^*

来源：Economic Modelling, 2017, 67: 316-324.

DOI：10.1016/j.econmod.2017.01.019

• Incomplete markets
• Market Closure
• Short sales
• Optimal control theory
• Dynamic programming

Using a two-country dynamic optimization model, we investigate the impact of exchange risk, incomplete information and short sales constraints on international portfolio decisions around market closure. Using optimal control theory, we provide solutions and simulation results. Our model can be applied to solve several problems in financial economics in the presence of market closure, information asymmetry and short sales constraints.

• 出版日期2017-10
• 单位山东大学