Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption

DOI10.1016/J.AMC.2005.04.089zbMath1137.91448OpenAlexW3122915989MaRDI QIDQ2490244

Tao Li, Ning Gong

Publication date: 28 April 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.04.089

zbMATH Keywords

Bellman equationPortfolio choiceInflation riskPortfolio insuranceIndex bonds

Mathematics Subject Classification ID

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Cites Work

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• Theory of constant proportion portfolio insurance
• Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living

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