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

doi:10.4236/jfrm.2014.32003

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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 2,313 Downloads 3,417 Views Citations

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Yingying Xu, Zhuwu Wu

Affiliation(s)

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.

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.

Cite this paper

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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