English, Article, Journal or magazine article edition: How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution Francesco MENONCIN

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Bookmark: http://trove.nla.gov.au/version/178492
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution
Author
  • Francesco MENONCIN
Physical Description
  • preprint
Notes
  • This paper analyses the portfolio problem of an invetsor who wants to maximize the expected utility of his terminal real wealth in an incomplete financial market. The investor must cope with a set of stochastic investment opportunities and inflation risk following a jump-diffusion process. We investigate how the inflation risk affects the optimal portfolio composition and, at this aim, we present an approximated analytical solution to the portfolio choice problem based on the Feynman-Kac representation theorem. Finally, we compare our approximate solution with some exact solutions available in the literature and we find that the main qualitative results are maintained.
  • asset allocation; inflation risk; Feynan-kac theorem; stochastic investment opportunities
  • RePEc:ctl:louvir:2001035
Language
  • English
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