The optimal mean variance problem with inflation

DOI10.3934/DCDSB.2016.21.185MaRDI QIDQ894986zbMATH OpenOpenAlexFDO

Authors Jingzhen Liu, Alain Bensoussan, Ka Fai Cedric Yiu

Publication date 25 November 2015

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2016.21.185

zbMATH Keywords

HJB equationmean variancepartial informationinflation

Mathematics Subject Classification ID

Dynamic programming (90C39) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Lectures on optimization - theory and algorithms. Notes by M. K. V. Murthy
• Long-term strategic asset allocation with inflation risk and regime switching
• OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal investment of an insurer with regime-switching and risk constraint
• Optimal investment with a value-at-risk constraint
• Optimal portfolios with regime switching and value-at-risk constraint
• Optimal stochastic differential games with VaR constraints
• The premium of dynamic trading

Cited in

(4)

• The optimal investment problem with inflation and liquidity risk
• Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
• Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
• Mean-variance portfolio selection with random investment horizon

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