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

Yingying Xu, Zhuwu Wu

School of Science, China University of Mining and Technology, Xuzhou, China.
School of Science, China University of Mining and Technology, Xuzhou, China School of Management, China University of Mining and Technology, Xuzhou, China.

DOI: 10.4236/jfrm.2014.32003                

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.

Keywords

Portfolio Selection, Efficient Frontier, Optimal Strategy, Stochastic Linear-Quadratic Control

Conflicts of Interest

The authors declare no conflicts of interest.

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