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文章基本信息

  • 标题:Continuous-Time Mean-Variance Portfolio Selection with Inflation in an Incomplete Market
  • 本地全文:下载
  • 作者:Yingying Xu ; Zhuwu Wu
  • 期刊名称:Journal of Financial Risk Management
  • 印刷版ISSN:2167-9533
  • 电子版ISSN:2167-9541
  • 出版年度:2014
  • 卷号:03
  • 期号:02
  • 页码:19-28
  • DOI:10.4236/jfrm.2014.32003
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:This paper concerns a continuous-time portfolio selection problem with inflation in an incomplete market. By using the approach of more general stochastic linear quadratic control technique (SLQ), we obtain the optimal strategy and efficient frontier to this problem. Furthermore, a numerical example is also provided.
  • 关键词:Portfolio Selection; Efficient Frontier; Optimal Strategy; Stochastic Linear-Quadratic Control
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