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Asset Accumulation and Portfolio Decisions Under Inflation Risk

In: Sustainable Asset Accumulation and Dynamic Portfolio Decisions

Author

Listed:
  • Carl Chiarella

    (University of Technology)

  • Willi Semmler

    (New School for Social Research
    Bielefeld University)

  • Chih-Ying Hsiao

    (University of Technology)

  • Lebogang Mateane

    (New School for Social Research)

Abstract

This chapter studies intertemporal investment strategies under inflation risk by extending the dynamic programming we have used so far, to include a stochastic price index. The stochastic price index gives rise to a two-tier evaluation system: agents maximize their utility of consumption in real terms while investment activities and wealth evolution are evaluated in nominal terms.

Suggested Citation

  • Carl Chiarella & Willi Semmler & Chih-Ying Hsiao & Lebogang Mateane, 2016. "Asset Accumulation and Portfolio Decisions Under Inflation Risk," Dynamic Modeling and Econometrics in Economics and Finance, in: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, chapter 0, pages 139-177, Springer.
    • Handle: RePEc:spr:dymchp:978-3-662-49229-1_8
    DOI: 10.1007/978-3-662-49229-1_8
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    References listed on IDEAS

    as
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