충청수학회지 (Journal of the Chungcheong Mathematical Society)

  • 제26권2호
  • /
  • Pages.343-349
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  • 2013
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  • 1226-3524(pISSN)
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  • 2383-6245(eISSN)
충청수학회 (The Chungcheong Mathematical Society)
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PORTFOLIO CHOICE UNDER INFLATION RISK: MARTINGALE APPROACH

  • Lim, Byung Hwa (Graduate School of Financial Engineering The University of Suwon)
  • 투고 : 2013.01.18
  • 심사 : 2013.04.04
  • 발행 : 2013.05.15
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초록

The optimal portfolio selection problem under inflation risk is considered in this paper. There are three assets the economic agent can invest, which are a risk free bond, an index bond and a risky asset. By applying the martingale method, the optimal consumption rate and the optimal portfolios for each asset are obtained explicitly.

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참고문헌

  1. M. P. Brennan and Y. Xia, Dynamic Asset Allocation under Inflation, J. Financ. 57 (2002), 1201-1238. https://doi.org/10.1111/1540-6261.00459
  2. N. Guo and T. Li, Role of Index Bonds in an Optimal Dynamic Asset Allocation Model with Real Subsistence Consumption, Appl. Math. Comput. 174 (2006), 710-731. https://doi.org/10.1016/j.amc.2005.04.089
  3. S. P. Kothari and J. Shanken, Asset Allocation with Inflation-protected Bonds, Financ. Analysts Journal 60 (2004), 54-70.
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  5. R. C. Merton, Lifetime Portfolio Selection under Uncertainty: the Continuous-Time Case, Rev. Econ. Stat. 51 (1969), 247-257. https://doi.org/10.2307/1926560
  6. R. C. Merton, Optimum Consumption and Portfolio Rules in a Continuous-Time Model, J. Econ. Theory 3 (1971), 373-413. https://doi.org/10.1016/0022-0531(71)90038-X
  7. C. Munk, C. Sorensen, and T. N. Vinther, Dynamic Asset Allocation under Mean-reverting Returns, Stochastic Interest rates, and Inflation Uncertainty: Are Popular Recommendations consistent with Rational Behavior?, Int. Rev. Econm. Financ. 13 (2004), 141-166. https://doi.org/10.1016/j.iref.2003.08.001