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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.17 No.2
- 발행연도
- 2013.6
- 수록면
- 115 - 128 (14page)
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초록· 키워드
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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.
목차
ABSTRACT
1. INTRODUCTION
2. FINANCIAL MARKET
3. OPTIMIZATION PROBLEM
4. THE SOLUTIONS
5. NUMERICAL RESULTS
6. CONCLUSION
REFERENCES
참고문헌 (11)
참고문헌 신청
M.P. Brennan / 2002 / Dynamic Asset Allocation under Inflation / Journal of Finance 57:1201~1238
N.Gong / 2006 / Role of Index Bonds in an Optimal Dynamic Asset Allocation Model with Real Subsistence Consumption / Applied Mathematics and Computation 174:710~731
F.F. Gong / 1996 / Inflation Risk in the US Yield Curve: The Usefulness of Indexed Bonds
S.P. Kothari / 2004 / Asset Allocation with Inflation-protected Bonds / Financial Analysts Journal 60:54~70
I. Karatzas / 1998 / Methods of Mathematical Finance / Springer
N.Gong / 2006 / Role of Index Bonds in an Optimal Dynamic Asset Allocation Model with Real Subsistence Consumption / Applied Mathematics and Computation 174:710~731
F.F. Gong / 1996 / Inflation Risk in the US Yield Curve: The Usefulness of Indexed Bonds
S.P. Kothari / 2004 / Asset Allocation with Inflation-protected Bonds / Financial Analysts Journal 60:54~70
I. Karatzas / 1998 / Methods of Mathematical Finance / Springer
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UCI(KEPA) : I410-ECN-0101-2014-400-002488276