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http://dx.doi.org/10.14403/jcms.2013.26.2.343

PORTFOLIO CHOICE UNDER INFLATION RISK: MARTINGALE APPROACH  

Lim, Byung Hwa (Graduate School of Financial Engineering The University of Suwon)
Publication Information
Journal of the Chungcheong Mathematical Society / v.26, no.2, 2013 , pp. 343-349 More about this Journal
Abstract
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.
Keywords
inflation risk; CRRA utility; asset allocation;
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