{"title":"THE EFFECT OF INFLATION RISK AND SUBSISTENCE CONSTRAINTS ON PORTFOLIO CHOICE","authors":"Byung Hwa Lim","doi":"10.12941/JKSIAM.2013.17.115","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":41717,"journal":{"name":"Journal of the Korean Society for Industrial and Applied Mathematics","volume":null,"pages":null},"PeriodicalIF":0.3000,"publicationDate":"2013-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of the Korean Society for Industrial and Applied Mathematics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12941/JKSIAM.2013.17.115","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 7
Abstract
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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