Asset Accumulation and Portfolio Decisions Under Inflation Risk

Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane
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Chih-Ying Hsiao: University of Technology

Chapter Chapter 8 in Sustainable Asset Accumulation and Dynamic Portfolio Decisions, 2016, pp 139-177 from Springer

Abstract: Abstract This chapter studies intertemporal investment strategies under inflation risk by extending the dynamic programming we have used so far, to include a stochastic price index. The stochastic price index gives rise to a two-tier evaluation system: agents maximize their utility of consumption in real terms while investment activities and wealth evolution are evaluated in nominal terms.

Keywords: Real Interest Rate; Real Yield; Bond Market; Asset Allocation; Investment Horizon (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-662-49229-1_8

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DOI: 10.1007/978-3-662-49229-1_8

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