Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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PORTFOLIO CHOICE UNDER INFLATION RISK: MARTINGALE APPROACH

  • Lim, Byung Hwa (Graduate School of Financial Engineering The University of Suwon)
  • Received : 2013.01.18
  • Accepted : 2013.04.04
  • Published : 2013.05.15
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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.

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References

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