Decision making for optimal consumption and portfolio under inflation with a mean-reverting process

zbMATH Open1324.91053MaRDI QIDQ5260060FDOQ5260060

Weiyin Fei, Minxiu Yu, Huiying Lü

Publication date: 29 June 2015

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zbMATH Keywords

approximate solutionHJB equationrecursive utilityinflationoptimal consumption and portfolio

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cited In (6)

• Agent's optimal compensation under inflation risk by using dynamic contract model
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• Optimal consumption and portfolio under inflation and Markovian switching
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• Optimal consumption, leisure and job choice under inflationary environment
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