 A kind of optimal investment problem under inflation and uncertain time horizonZongyuan Huang, Haiyang Wang and Zhen Wu Applied Mathematics and Computation, 2020, vol. 375, issue C Abstract: In this paper, we study a kind of optimal investment problem under inflation and uncertain time horizon. It can be generally formulated into a stochastic optimal control problem. In particular for the constant relative risk aversion utility, we employ the method of completion of squares to give an explicit form of optimal portfolio and maximum utility by the solution of a stochastic Riccati equation, whose wellposedness is obtained and also of significance in its own right. The most distinguishing result of our work is that the randomness of exit time actually affects not only the optimal portfolio but also the maximum utility in the case of stochastic market parameters. Moreover, we present several numerical examples to show the application of theoretical results and further discuss the influence of inflation and random time horizon from the economic viewpoint. Keywords: Optimal portfolio selection; Inflation; Random time horizon; Constant relative risk aversion utility; Stochastic Riccati equations (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:375:y:2020:i:c:s0096300320300539 DOI: 10.1016/j.amc.2020.125084 Access Statistics for this article Applied Mathematics and Computation is currently edited by Theodore Simos More articles in Applied Mathematics and Computation from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.