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Continuous-Time Mean-Variance Portfolio Selection with Inflation in an Incomplete Market

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DOI: 10.4236/jfrm.2014.32003    2,112 Downloads   3,108 Views   Citations


This paper concerns a continuous-time portfolio selection problem with inflation in an incomplete market. By using the approach of more general stochastic linear quadratic control technique (SLQ), we obtain the optimal strategy and efficient frontier to this problem. Furthermore, a numerical example is also provided.

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Xu, Y. and Wu, Z. (2014) Continuous-Time Mean-Variance Portfolio Selection with Inflation in an Incomplete Market. Journal of Financial Risk Management, 3, 19-28. doi: 10.4236/jfrm.2014.32003.


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