The optimal mean variance problem with inflation

DOI10.3934/dcdsb.2016.21.185zbMath1327.90362OpenAlexW2526718376MaRDI QIDQ894986

Jingzhen Liu, Alain Bensoussan, Ka-Fai Cedric Yiu

Publication date: 25 November 2015

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2016.21.185

zbMATH Keywords

inflationHJB equationpartial informationmean variance

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61)

Related Items (2)

Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks ⋮ Mean-variance portfolio selection with random investment horizon

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