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A model for market closure and international portfolio management within incomplete information. (English) Zbl 1107.91323
Summary: This paper presents of model of market closure in the management of international portfolios. We consider an investor holding a portfolio of domestic stocks and foreign stocks who faces market closure in the management of his portfolio. The investor’s portfolio is affected by the exchange rate risk and different dynamics of the underlying assets during the period of trading and non-trading. The investor must determine the optimal proportions of his wealth to allocate to domestic stocks and foreign stocks during the market open and close periods. The paper investigates the effects of opening and closing on transactions demand of domestic and foreign stocks. The transactions demand at open and close periods in the securities markets are studied in the presence of information costs using the main concepts in Merton’s (1987) model of capital market equilibrium with incomplete information. Using optimal control theory, we provide a solution in the general case and propose analytic solutions for the constant relative aversion utility functions. The model can be applied to solve several problems in financial economics in the presence of market closure.
91B28Finance etc. (MSC2000)
90C39Dynamic programming