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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    2,065 Downloads   3,043 Views   Citations

ABSTRACT

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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