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Оптимальные Стратегии Инвестирования И Потребления С Учетом Инфляционного Риска

Author

Listed:
  • Наталуха Инна Геннадьевна

    (Кисловодский институт экономики и права)

Abstract

В работе построена модель финансового инвестирования в непрерывном времени, на основе которой исследуются оптимальные стратегии инвестирования и текущего потребления с учетом стохастической (в том числе немарковской) динамики цен рисковых активов, стохастической эволюции параметров инвестиционной среды и неопределенности инфляции. В явном аналитическом виде получены составляющие оптимального портфеля.In work the model of financial investment in continuous time is constructed, on which basis optimum strategy of investment and current consumption taking into account stochastic dynamics of the prices of brave actives, stochastic evolution of parametres of the investment environment and uncertainty of inflation are investigated. In an obvious analytical kind components of an optimum portfolio are received.

Suggested Citation

  • Наталуха Инна Геннадьевна, 2008. "Оптимальные Стратегии Инвестирования И Потребления С Учетом Инфляционного Риска," Управление экономическими системами: электроннный научный журнал, CyberLeninka;Негосударственное образовательное учреждение высшего профессионального образования Кисловодский институт экономики и права, issue 16, pages 22-27.
    • Handle: RePEc:scn:007255:14591300
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