Article citationsMore>>

Xie, S., Li, Z., & Wang, S. (2008). Continuous-Time Portfolio Selection with Liability: Mean-Variance Model and Stochastic LQ Approach. Insurance: Mathematics and Economics, 42, 943-953.
http://dx.doi.org/10.1016/j.insmatheco.2007.10.014

has been cited by the following article:

• TITLE: Continuous-Time Mean-Variance Portfolio Selection with Inflation in an Incomplete Market

  AUTHORS: Yingying Xu, Zhuwu Wu

  KEYWORDS: Portfolio Selection, Efficient Frontier, Optimal Strategy, Stochastic Linear-Quadratic Control

  JOURNAL NAME: Journal of Financial Risk Management, Vol.3 No.2, June 12, 2014

  ABSTRACT: 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.