Portfolio decision with a quadratic utility and inflation risk

DOI10.1186/S13662-018-1834-1zbMath1448.91273OpenAlexW2896917073WikidataQ129101352 ScholiaQ129101352MaRDI QIDQ1716081

Byung Hwa Lim, Ho-Seok Lee

Publication date: 29 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-018-1834-1

zbMATH Keywords

portfolio selectioninflation riskquadratic utilitymartingale duality methodinflation-linked index bond

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Cites Work

• An optimal consumption and investment problem with quadratic utility and negative wealth constraints
• Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
• Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint

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