The optimal investment problem with inflation and liquidity risk

DOI10.1016/J.CAM.2023.115580MaRDI QIDQ6079953zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

HJB equationinflationoptimal investment and consumptionliquidity risklabor supply flexibility

Mathematics Subject Classification ID

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

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Cites work

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

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