- About this Journal ·
- Abstracting and Indexing ·
- Advance Access ·
- Aims and Scope ·
- Annual Issues ·
- Article Processing Charges ·
- Articles in Press ·
- Author Guidelines ·
- Bibliographic Information ·
- Citations to this Journal ·
- Contact Information ·
- Editorial Board ·
- Editorial Workflow ·
- Free eTOC Alerts ·
- Publication Ethics ·
- Reviewers Acknowledgment ·
- Submit a Manuscript ·
- Subscription Information ·
- Table of Contents
Discrete Dynamics in Nature and Society
Volume 2014 (2014), Article ID 840725, 11 pages
A Stochastic Dynamic Programming Approach Based on Bounded Rationality and Application to Dynamic Portfolio Choice
Business School, Central South University, Changsha, Hunan 410083, China
Received 14 March 2014; Accepted 5 May 2014; Published 22 May 2014
Academic Editor: Fenghua Wen
Copyright © 2014 Wenjie Bi et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
- R. C. Merton, “Lifetime portfolio selection under uncertainty: the continuous-time case,” Review of Economics and Statistics, vol. 51, no. 3, pp. 247–257, 1969.
- R. C. Merton, “Optimum consumption and portfolio rules in a continuous-time model,” Journal of Economic Theory, vol. 3, no. 4, pp. 373–413, 1971.
- F. Wen and X. Yang, “Skewness of return distribution and coefficient of risk premium,” Journal of Systems Science & Complexity, vol. 22, no. 3, pp. 360–371, 2009.
- F. Wen, “Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model,” Abstract and Applied Analysis, vol. 2013, Article ID 143194, 13 pages, 2013.
- J. C. Cox and C.-F. Huang, “Optimal consumption and portfolio policies when asset prices follow a diffusion process,” Journal of Economic Theory, vol. 49, no. 1, pp. 33–83, 1989.
- I. Karatzas, J. P. Lehoczky, S. P. Sethi, and S. E. Shreve, “Explicit solution of a general consumption/investment problem,” Mathematics of Operations Research, vol. 11, no. 2, pp. 261–294, 1986.
- I. Karatzas, J. P. Lehoczky, and S. E. Shreve, “Optimal portfolio and consumption decisions for a “small investor” on a finite horizon,” SIAM Journal on Control and Optimization, vol. 25, no. 6, pp. 1557–1586, 1987.
- I. Karatzas, J. P. Lehoczky, and S. E. Shreve, “Existence and uniqueness of multi-agent equilibrium in a stochastic, dynamic consumption/investment model,” Mathematics of Operations Research, vol. 15, no. 1, pp. 80–128, 1990.
- R. E. Hall, “The dynamic effects of fiscal policy in an economy with foresight,” The Review of Economic Studies, vol. 38, no. 114, pp. 229–244, 1971.
- M. J. Magill, “A local analysis of -sector capital accumulation under uncertainty,” Journal of Economic Theory, vol. 15, no. 1, pp. 211–219, 1977.
- F. E. Kydland and E. C. Prescott, “Time to build and aggregate fluctuations,” Econometrica, vol. 50, no. 6, pp. 1345–1370, 1982.
- L. J. Christiano, “Linear-quadratic approximation and value-function iteration: a comparison,” Journal of Business & Economic Statistics, vol. 8, no. 1, pp. 99–113, 1990.
- K. L. Judd and S.-M. Guu, “Asymptotic methods for asset market equilibrium analysis,” Economic Theory, vol. 18, no. 1, pp. 127–157, 2001.
- G. A. Miller, “The magical number seven, plus or minus two: some limits on our capacity for processing information,” Psychological Review, vol. 63, no. 2, pp. 81–97, 1956.
- D. Kahneman, Thinking, Fast and Slow, Macmillan, New York, NY, USA, 2011.
- W. Bi, Y. Sun, H. Liu, and X. Chen, “Dynamic nonlinear pricing model based on adaptive and sophisticated learning,” Mathematical Problems in Engineering, vol. 2014, Article ID 791656, 11 pages, 2014.
- P. Bordalo, N. Gennaioli, and A. Shleifer, “Salience theory of choice under risk,” The Quarterly Journal of Economics, vol. 127, no. 3, pp. 1243–1285, 2012.
- B. Kőszegi and A. Szeidl, “A model of focusing in economic choice,” The Quarterly Journal of Economics, vol. 128, no. 1, pp. 53–104, 2013.
- C. A. Sims, “Implications of rational inattention,” Journal of Monetary Economics, vol. 50, no. 3, pp. 665–690, 2003.
- L. Peng and W. Xiong, “Investor attention, overconfidence and category learning,” Journal of Financial Economics, vol. 80, no. 3, pp. 563–602, 2006.
- M. S. Seasholes and G. Wu, “Predictable behavior, profits, and attention,” Journal of Empirical Finance, vol. 14, no. 5, pp. 590–610, 2007.
- B. Maćkowiak and M. Wiederholt, “Optimal sticky prices under rational inattention,” American Economic Review, vol. 99, no. 3, pp. 769–803, 2009.
- X. Gabaix, “A sparsity-based model of bounded rationality, applied to basic consumer and equilibrium theory,” Working Paper, National Bureau of Economic Research, YUN, New York, NY, USA, 2013.
- W. H. Fleming and H. M. Soner, Controlled Markov Processes and Viscosity Solutions, vol. 25, Cambridge University Press, Cambridge, UK, 2006.
- J.-P. Fouque, G. Papanicolaou, and K. R. Sircar, Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press, Cambridge, UK, 2000.
- M. I. Kamien and N. L. Schwartz, Dynamic Optimization: The Calculus of Variations and Optimal Control in Economics and Management, Courier Dover Publications, Mineola, NY, USA, 1991.
- F. Wen, Z. He, and X. Chen, “Investors' risk preference characteristics and conditional skewness,” Mathematical Problems in Engineering, vol. 2014, Article ID 814965, 14 pages, 2014.
- F. Wen, X. Gong, Y. Chao, and X. Chen, “The effects of prior outcomes on risky choice: evidence from the stock market,” Mathematical Problems in Engineering, vol. 2014, Article ID 272518, 8 pages, 2014.
- W. H. Fleming and T. Pang, “An application of stochastic control theory to financial economics,” SIAM Journal on Control and Optimization, vol. 43, no. 2, pp. 502–531, 2004.
- W. H. Fleming and D. Hernández-Hernández, “An optimal consumption model with stochastic volatility,” Finance and Stochastics, vol. 7, no. 2, pp. 245–262, 2003.
- L. Wang, C. X. Dun, W. J. Bi, and Y. R. Zeng, “An effective and efficient differential evolution algorithm for the integrated stochastic joint replenishment and delivery model,” Knowledge-Based Systems, vol. 36, pp. 104–114, 2012.
- L. Wang, C. X. Dun, C. G. Lee, Q. L. Fu, and Y. R. Zeng, “Model and algorithm for fuzzy joint replenishment and delivery scheduling without explicit membership function,” The International Journal of Advanced Manufacturing Technology, vol. 66, no. 9–12, pp. 1907–1920, 2013.
- L. Wang, H. Qu, Y. Li, and J. He, “Modeling and optimization of stochastic joint replenishment and delivery scheduling problem with uncertain costs,” Discrete Dynamics in Nature and Society, vol. 2013, Article ID 657465, 12 pages, 2013.