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THE EFFECT OF INFLATION RISK AND SUBSISTENCE CONSTRAINTS ON PORTFOLIO CHOICE - MaRDI portal

THE EFFECT OF INFLATION RISK AND SUBSISTENCE CONSTRAINTS ON PORTFOLIO CHOICE

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Publication:5258008

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DOI10.12941/JKSIAM.2013.17.115zbMath1316.91031OpenAlexW1970922650MaRDI QIDQ5258008

Byung Hwa Lim

Publication date: 25 June 2015

Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://mathnet.kaist.ac.kr/mathnet/kms_content.php?no=411235

zbMATH Keywords

portfolio choice inflation risk martingale method subsistence constraints index bond

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

The optimal investment problem with inflation and liquidity risk ⋮ Optimal consumption, leisure and job choice under inflationary environment

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