Optimal portfolio-consumption choice under stochastic inflation with nominal and indexed bonds

DOI10.1002/asmb.886zbMath1274.91376MaRDI QIDQ2862440

Ying-Yin Chou, Nan-Wei Han, Mao-Wei Hung

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.886

zbMATH Keywords

consumption; portfolio choice; inflation risk; inflation-indexed bond; elasticity of intertemporal substitution

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G10: Portfolio theory

Related Items

Portfolio management with stochastic interest rates and inflation ambiguity, Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks, Optimal investment-consumption strategy under inflation in a Markovian regime-switching market, Long term optimal investment with regime switching: inflation, information and short sales, Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate

Cites Work

• Intertemporal asset allocation when the underlying factors are unobservable
• Stochastic Interest Rates and the Bond-Stock Mix
• Stochastic Differential Utility
• An equilibrium characterization of the term structure