
Previous Article
Fastest synchronized network and synchrony on the Julia set of complexvalued coupled map lattices
 DCDSB Home
 This Issue

Next Article
Attractors for wave equations with nonlinear damping on timedependent space
The optimal mean variance problem with inflation
1.  School of Insurance, Central University of Finance and Economics, Beijing 10086, China 
2.  Department of Applied Mathematics, The Hong Kong Polytechnic University, Hunghom, Kowloon, Hong Kong, China 
3.  Department of Systems Engineering and Engineering Management, City University of Hong Kong, Kowloon Tong, Hong Kong, China 
References:
[1] 
A. Bensoussan, J. Keppo and S. P. Sethi, Optimal consumption and portfolio decisions with partially observed real prices,, Mathematical Finance, 19 (2009), 215. doi: 10.1111/j.14679965.2009.00362.x. 
[2] 
M. J. Brennan and Y. Xia, Dynamic asset allocation under inflation,, Journal of Finance, 57 (2002), 1201. 
[3] 
J. Cea, Lectures on Optimization  Theory and Algorithm,, Tata Institute of Fundamental Research, (1978). 
[4] 
S. N. Chen and W. T. Moore, Uncertain inflation and optimal portfolio selection: A simplified approach,, The Financial Review, 20 (1985), 343. doi: 10.1111/j.15406288.1985.tb00312.x. 
[5] 
C. H. Chiu and X. Y. Zhou, The premium of dynamic trading,, Quantitative Finance, 11 (2011), 115. doi: 10.1080/14697681003685589. 
[6] 
W. S. Fleming and H. M. Soner, Controlled Markov Processes and Viscosity Solutions,, SpringerVerlag, (1993). 
[7] 
D. Li and W. L. Ng, Optimal dynamic portfolio selection: Multiperiod meanvariance formulation,, Mathematical Finance, 10 (2000), 387. doi: 10.1111/14679965.00100. 
[8] 
H. Markowitz, Portfolio selection,, Journal of Finance, 7 (1952), 77. 
[9] 
X. Li, X. Y. Zhou and A. E. B. Lim, Dynamic meanvariance portfolio selection with noshorting constraints,, SIAM Journal on Control and Optimization, 40 (2002), 1540. doi: 10.1137/S0363012900378504. 
[10] 
J. Z. Liu, L. H. Bai and K. F. C. Yiu, Optimal investment with a valueatrisk constraint,, Journal of Industrial and Management Optimization, 8 (2012), 531. doi: 10.3934/jimo.2012.8.531. 
[11] 
J. Z. Liu and K. F. C. Yiu, Optimal stochastic differential games with VaR constraint,, Discrete & Continuous Dynamical Systems  Series B, 18 (2013), 1889. doi: 10.3934/dcdsb.2013.18.1889. 
[12] 
J. Z. Liu, K. F. C. Yiu and T. K. Siu, Optimal investment of an insurer with regimeswitching and risk constraint,, Scandinavian Actuarial Journal, 2014 (2014), 583. doi: 10.1080/03461238.2012.750621. 
[13] 
S. Manaster, Real and nominal efficient sets,, Journal of Finance, 34 (1979), 93. doi: 10.1111/j.15406261.1979.tb02073.x. 
[14] 
C. Munk, C. Sorensen and T. N. Vinther, Dynamic asset allocation under meanreverting returns, stochastic interest rates and inflation uncertainty,, International Review of Economics and Finance, 13 (2004), 141. doi: 10.1016/j.iref.2003.08.001. 
[15] 
T. K. Siu, Longterm strategic asset allocation with inflation risk and regime switching,, Quantitative Finance, 11 (2011), 1565. doi: 10.1080/14697680903055588. 
[16] 
B. H. Solnik, Inflation and optimal portfolio choice,, Journal of Financial and Quantitative analysis, 13 (1978), 903. doi: 10.2307/2330634. 
[17] 
A. Zhang, Stochastic Optimization in Finance and Life Insurance: Applications of the Martingale Method,, Ph.D thesis, (2008). 
[18] 
X. Y. Zhou and D. Li, Continuoustime meanvariance portfolio selection: A stochastic LQ framework,, Applied Mathematics and Optimization, 42 (2000), 19. doi: 10.1007/s002450010003. 
[19] 
K. F. C. Yiu, J. Z. Liu, T. K. Siu and W. C. Ching, Optimal portfolios with regimeswitching and valueatrisk constraint,, Automatica, 46 (2010), 979. doi: 10.1016/j.automatica.2010.02.027. 
show all references
References:
[1] 
A. Bensoussan, J. Keppo and S. P. Sethi, Optimal consumption and portfolio decisions with partially observed real prices,, Mathematical Finance, 19 (2009), 215. doi: 10.1111/j.14679965.2009.00362.x. 
[2] 
M. J. Brennan and Y. Xia, Dynamic asset allocation under inflation,, Journal of Finance, 57 (2002), 1201. 
[3] 
J. Cea, Lectures on Optimization  Theory and Algorithm,, Tata Institute of Fundamental Research, (1978). 
[4] 
S. N. Chen and W. T. Moore, Uncertain inflation and optimal portfolio selection: A simplified approach,, The Financial Review, 20 (1985), 343. doi: 10.1111/j.15406288.1985.tb00312.x. 
[5] 
C. H. Chiu and X. Y. Zhou, The premium of dynamic trading,, Quantitative Finance, 11 (2011), 115. doi: 10.1080/14697681003685589. 
[6] 
W. S. Fleming and H. M. Soner, Controlled Markov Processes and Viscosity Solutions,, SpringerVerlag, (1993). 
[7] 
D. Li and W. L. Ng, Optimal dynamic portfolio selection: Multiperiod meanvariance formulation,, Mathematical Finance, 10 (2000), 387. doi: 10.1111/14679965.00100. 
[8] 
H. Markowitz, Portfolio selection,, Journal of Finance, 7 (1952), 77. 
[9] 
X. Li, X. Y. Zhou and A. E. B. Lim, Dynamic meanvariance portfolio selection with noshorting constraints,, SIAM Journal on Control and Optimization, 40 (2002), 1540. doi: 10.1137/S0363012900378504. 
[10] 
J. Z. Liu, L. H. Bai and K. F. C. Yiu, Optimal investment with a valueatrisk constraint,, Journal of Industrial and Management Optimization, 8 (2012), 531. doi: 10.3934/jimo.2012.8.531. 
[11] 
J. Z. Liu and K. F. C. Yiu, Optimal stochastic differential games with VaR constraint,, Discrete & Continuous Dynamical Systems  Series B, 18 (2013), 1889. doi: 10.3934/dcdsb.2013.18.1889. 
[12] 
J. Z. Liu, K. F. C. Yiu and T. K. Siu, Optimal investment of an insurer with regimeswitching and risk constraint,, Scandinavian Actuarial Journal, 2014 (2014), 583. doi: 10.1080/03461238.2012.750621. 
[13] 
S. Manaster, Real and nominal efficient sets,, Journal of Finance, 34 (1979), 93. doi: 10.1111/j.15406261.1979.tb02073.x. 
[14] 
C. Munk, C. Sorensen and T. N. Vinther, Dynamic asset allocation under meanreverting returns, stochastic interest rates and inflation uncertainty,, International Review of Economics and Finance, 13 (2004), 141. doi: 10.1016/j.iref.2003.08.001. 
[15] 
T. K. Siu, Longterm strategic asset allocation with inflation risk and regime switching,, Quantitative Finance, 11 (2011), 1565. doi: 10.1080/14697680903055588. 
[16] 
B. H. Solnik, Inflation and optimal portfolio choice,, Journal of Financial and Quantitative analysis, 13 (1978), 903. doi: 10.2307/2330634. 
[17] 
A. Zhang, Stochastic Optimization in Finance and Life Insurance: Applications of the Martingale Method,, Ph.D thesis, (2008). 
[18] 
X. Y. Zhou and D. Li, Continuoustime meanvariance portfolio selection: A stochastic LQ framework,, Applied Mathematics and Optimization, 42 (2000), 19. doi: 10.1007/s002450010003. 
[19] 
K. F. C. Yiu, J. Z. Liu, T. K. Siu and W. C. Ching, Optimal portfolios with regimeswitching and valueatrisk constraint,, Automatica, 46 (2010), 979. doi: 10.1016/j.automatica.2010.02.027. 
[1] 
Haixiang Yao, Zhongfei Li, Yongzeng Lai. Dynamic meanvariance asset allocation with stochastic interest rate and inflation rate. Journal of Industrial & Management Optimization, 2016, 12 (1) : 187209. doi: 10.3934/jimo.2016.12.187 
[2] 
HuaiNian Zhu, ChengKe Zhang, Zhuo Jin. Continuoustime meanvariance assetliability management with stochastic interest rates and inflation risks. Journal of Industrial & Management Optimization, 2017, 13 (5) : 122. doi: 10.3934/jimo.2018180 
[3] 
Dimitra Antonopoulou, Georgia Karali. A nonlinear partial differential equation for the volume preserving mean curvature flow. Networks & Heterogeneous Media, 2013, 8 (1) : 922. doi: 10.3934/nhm.2013.8.9 
[4] 
Jiongmin Yong. Timeinconsistent optimal control problems and the equilibrium HJB equation. Mathematical Control & Related Fields, 2012, 2 (3) : 271329. doi: 10.3934/mcrf.2012.2.271 
[5] 
Yan Zeng, Zhongfei Li, Jingjun Liu. Optimal strategies of benchmark and meanvariance portfolio selection problems for insurers. Journal of Industrial & Management Optimization, 2010, 6 (3) : 483496. doi: 10.3934/jimo.2010.6.483 
[6] 
Nan Zhang, Ping Chen, Zhuo Jin, Shuanming Li. Markowitz's meanvariance optimization with investment and constrained reinsurance. Journal of Industrial & Management Optimization, 2017, 13 (1) : 375397. doi: 10.3934/jimo.2016022 
[7] 
Maryam Ghoreishi, Abolfazl Mirzazadeh, GerhardWilhelm Weber, Isa NakhaiKamalabadi. Joint pricing and replenishment decisions for noninstantaneous deteriorating items with partial backlogging, inflation and selling pricedependent demand and customer returns. Journal of Industrial & Management Optimization, 2015, 11 (3) : 933949. doi: 10.3934/jimo.2015.11.933 
[8] 
Haiyang Wang, Zhen Wu. Timeinconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation. Mathematical Control & Related Fields, 2015, 5 (3) : 651678. doi: 10.3934/mcrf.2015.5.651 
[9] 
Baojun Bian, Shuntai Hu, Quan Yuan, Harry Zheng. Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing. Discrete & Continuous Dynamical Systems  A, 2015, 35 (11) : 54135433. doi: 10.3934/dcds.2015.35.5413 
[10] 
Xianping Wu, Xun Li, Zhongfei Li. A meanfield formulation for multiperiod assetliability meanvariance portfolio selection with probability constraints. Journal of Industrial & Management Optimization, 2018, 14 (1) : 249265. doi: 10.3934/jimo.2017045 
[11] 
Shuang Li, Chuong Luong, Francisca Angkola, Yonghong Wu. Optimal asset portfolio with stochastic volatility under the meanvariance utility with statedependent risk aversion. Journal of Industrial & Management Optimization, 2016, 12 (4) : 15211533. doi: 10.3934/jimo.2016.12.1521 
[12] 
Zhen Wang, Sanyang Liu. Multiperiod meanvariance portfolio selection with fixed and proportional transaction costs. Journal of Industrial & Management Optimization, 2013, 9 (3) : 643656. doi: 10.3934/jimo.2013.9.643 
[13] 
Zhiping Chen, Jia Liu, Gang Li. Time consistent policy of multiperiod meanvariance problem in stochastic markets. Journal of Industrial & Management Optimization, 2016, 12 (1) : 229249. doi: 10.3934/jimo.2016.12.229 
[14] 
Ping Chen, Haixiang Yao. Continuoustime meanvariance portfolio selection with noshorting constraints and regimeswitching. Journal of Industrial & Management Optimization, 2017, 13 (5) : 121. doi: 10.3934/jimo.2018166 
[15] 
Ning Zhang. A symmetric GaussSeidel based method for a class of multiperiod meanvariance portfolio selection problems. Journal of Industrial & Management Optimization, 2017, 13 (5) : 118. doi: 10.3934/jimo.2018189 
[16] 
Yan Wang, Yanxiang Zhao, Lei Wang, Aimin Song, Yanping Ma. Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer. Journal of Industrial & Management Optimization, 2018, 14 (2) : 653671. doi: 10.3934/jimo.2017067 
[17] 
Yves Achdou, Mathieu Laurière. On the system of partial differential equations arising in mean field type control. Discrete & Continuous Dynamical Systems  A, 2015, 35 (9) : 38793900. doi: 10.3934/dcds.2015.35.3879 
[18] 
Cuilian You, Yangyang Hao. Stability in mean for fuzzy differential equation. Journal of Industrial & Management Optimization, 2019, 15 (3) : 13751385. doi: 10.3934/jimo.2018099 
[19] 
Melody Alsaker, Sarah Jane Hamilton, Andreas Hauptmann. A direct Dbar method for partial boundary data electrical impedance tomography with a priori information. Inverse Problems & Imaging, 2017, 11 (3) : 427454. doi: 10.3934/ipi.2017020 
[20] 
Vladimir G. Romanov, Masahiro Yamamoto. Recovering two coefficients in an elliptic equation via phaseless information. Inverse Problems & Imaging, 2019, 13 (1) : 8191. doi: 10.3934/ipi.2019005 
2018 Impact Factor: 1.008
Tools
Metrics
Other articles
by authors
[Back to Top]