The terminal real wealth optimization problem with index bonds: equivalence of real and nominal portfolio choices for the constant relative risk aversion utility

DOI10.1093/imaman/dpq019zbMath1248.91093OpenAlexW2314751441MaRDI QIDQ3166330

Ai-Hua Zhang

Publication date: 11 October 2012

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpq019

zbMATH Keywords

optimizationportfolio choicesreal wealthindex bond

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

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