The optimal investment problem with inflation and liquidity risk

DOI10.1016/J.CAM.2023.115580zbMATH Open1527.91147OpenAlexW4386914094MaRDI QIDQ6079953FDOQ6079953

Authors: Xinyue Chen, Pei-Min Chen, Yong He, Xiaoyang Wang 

Publication date: 30 October 2023

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

Full work available at URL: https://doi.org/10.1016/j.cam.2023.115580

Recommendations

• Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
• Time-consistent optimal investment strategy with inflation and liability common influence
• scientific article; zbMATH DE number 7028767
• Decision making for optimal consumption and portfolio under inflation with a mean-reverting process
• The optimal mean variance problem with inflation

zbMATH Keywords

HJB equationinflationoptimal investment and consumptionliquidity risklabor supply flexibility

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20) Labor markets (91B39)

Cites Work

• Applied stochastic control of jump diffusions
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: dynamic programming approaches
• Optimal investment, stochastic labor income and retirement
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Optimal liquidation under stochastic liquidity
• Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
• A model of optimal consumption under liquidity risk with random trading times
• OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
• Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
• The effect of inflation risk and subsistence constraints on portfolio choice
• Optimal trade execution in order books with stochastic liquidity
• Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
• Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence

This page was built for publication: The optimal investment problem with inflation and liquidity risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6079953)