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Continuous-Time Mean-Variance Portfolio Selection with Inflation in an Incomplete Market
School of Science, China University of Mining and Technology, Xuzhou, China
School of Science, China University of Mining and Technology, Xuzhou, China School of Management, China University of Mining and Technology, Xuzhou, China
- 1 School of Science, China University of Mining and Technology, Xuzhou, China
- 2 School of Science, China University of Mining and Technology, Xuzhou, China School of Management, China University of Mining and Technology, Xuzhou, China
Journal of Financial Risk Management·Volume 03 (2014)·Pages 19–28·Published 12 June 2014·DOI10.4236/jfrm.2014.32003
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Abstract
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.
KeywordsPortfolio SelectionEfficient FrontierOptimal StrategyStochastic Linear-Quadratic Control
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