通货膨胀风险和生存约束对投资组合选择的影响

IF 0.3 Q4 MATHEMATICS, APPLIED

Journal of the Korean Society for Industrial and Applied Mathematics Pub Date : 2013-06-25 DOI:10.12941/JKSIAM.2013.17.115

Byung Hwa Lim

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引用次数: 7

摘要

研究通货膨胀风险和生存约束下的最优投资组合问题。金融市场上有指数债券投资，它有助于对冲通货膨胀风险。应用鞅方法，明确地得到了最优消费率和最优投资组合。此外，还描述了通货膨胀风险和生存约束对最优政策的定量影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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THE EFFECT OF INFLATION RISK AND SUBSISTENCE CONSTRAINTS ON PORTFOLIO CHOICE

The optimal portfolio selection problem under inflation risk and subsistence constraints is considered. There are index bonds to invest in financial market and it helps to hedge the inflation risk. By applying the martingale method, the optimal consumption rate and the optimal portfolios are obtained explicitly. Furthermore, the quantitative effect of inflation risk and subsistence constraints on the optimal polices are also described.

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来源期刊

Journal of the Korean Society for Industrial and Applied Mathematics MATHEMATICS, APPLIED-

自引率

33.30%

发文量