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

zbMATH Open1324.91053MaRDI QIDQ5260060FDOQ5260060

Authors: Weiyin Fei, Huiying Lü, Minxiu Yu 

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 (16)

• Optimal investment-consumption decisions with partially observed inflation: a discrete-time formulation
• An investor's optimal portfolio with rare events and model uncertainty under inflation
• Optimal portfolio-consumption choice under stochastic inflation with nominal and indexed bonds
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• Agent's optimal compensation under inflation risk by using dynamic contract model
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• A kind of problem of maximizing the expected utility from the terminal wealth: the case of inflation
• Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk
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• The optimal investment problem with inflation and liquidity risk
• Optimal portfolio of corporate investment and consumption problem under market closure: inflation case
• The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
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• Optimal consumption, leisure and job choice under inflationary environment
• Portfolio decision with a quadratic utility and inflation risk

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