Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
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Publication:2515275
DOI10.3934/jimo.2016.12.187zbMath1317.90248OpenAlexW2335043180MaRDI QIDQ2515275
Haixiang Yao, Yongzeng Lai, Zhong-Fei Li
Publication date: 31 July 2015
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016.12.187
Hamilton-Jacobi-Bellman equationinflationstochastic interest rateasset allocationdynamic mean-variance
Nonconvex programming, global optimization (90C26) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Portfolio theory (91G10)
Related Items (8)
Portfolio selection based on a benchmark process with dynamic value-at-risk constraints ⋮ Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset ⋮ Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks ⋮ Optimal consumption-portfolio problem with CVaR constraints ⋮ Optimal dynamic asset-liability management with stochastic interest rates and inflation risks ⋮ Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate ⋮ Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks ⋮ Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
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