Optimal portfolio-consumption choice under stochastic inflation with nominal and indexed bonds

DOI10.1002/ASMB.886zbMath1274.91376OpenAlexW2030895724MaRDI QIDQ2862440

Ying-Yin Chou, Nan-Wei Han, Mao-Wei Hung

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.886

zbMATH Keywords

consumptionportfolio choiceinflation riskinflation-indexed bondelasticity of intertemporal substitution

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (5)

Long term optimal investment with regime switching: inflation, information and short sales ⋮ Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market ⋮ Portfolio management with stochastic interest rates and inflation ambiguity ⋮ Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate

Cites Work

• Intertemporal asset allocation when the underlying factors are unobservable
• Stochastic Interest Rates and the Bond-Stock Mix
• Stochastic Differential Utility
• An equilibrium characterization of the term structure

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