Dynamic asset allocation with event risk under inflation

DOI10.3969/J.ISSN.1005-3085.2016.03.002MaRDI QIDQ3180034zbMATH OpenFDO

Authors Weiyin Fei, Qinyun Lu, Huimin Hu, Dengfeng Xia

Publication date 6 January 2017

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2016.03.002

zbMATH Keywords

dynamic asset allocationevent riskinflationjump-diffusion processstochastic control

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(6)

• Dynamic asset allocation with event risk, transaction costs and predictable returns
• Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
• Long-term strategic asset allocation with inflation risk and regime switching
• An investor's optimal portfolio with rare events and model uncertainty under inflation
• Age-dependent robust strategic asset allocation with inflation-deflation hedging demand
• The impact of jump inflation risk on sustainable financial welfare consequences

Describes a project that uses

Uses Software

• Matlab

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