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This paper concerns a continuous-time portfolio selection problem with inflation in an incomplete market. By using the approach of more general stochastic linear quadratic control technique (SLQ), we obtain the optimal strategy and efficient frontier to this problem. Furthermore, a numerical example is also provided.
This paper concerns a minimax model to investigate the optimal portfolio selection without riskless asset . For the problem without riskless and short sale restriction, we derive a analytial expression for the optimal solution and the efficient frontier. Futhermore, the comparison of the efficient frontier between mean-variance model and minimax portfolio… (More)