TITLE:
Continuous-Time Mean-Variance Portfolio Selection with Inflation in an Incomplete Market
AUTHORS:
Yingying Xu, Zhuwu Wu
KEYWORDS:
Portfolio Selection, Efficient Frontier, Optimal Strategy, Stochastic Linear-Quadratic Control
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.3 No.2,
June
12,
2014
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.