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- W2896917073 abstract "This paper considers a portfolio selection problem with a quadratic utility of consumption, which is symmetric with respect to a bliss point. At bliss point, the utility function has its maximum value and further consumption lowers the utility. In the presence of inflation risk, we introduce an inflation-linked index bond to manage the inflation risk and derive explicit expressions for the optimal consumption and portfolios by applying duality method. Based on quantitative results, we see that inflation-linked index bond plays an important role in choosing consumption and portfolio rules." @default.
- W2896917073 created "2018-10-26" @default.
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- W2896917073 date "2018-10-11" @default.
- W2896917073 modified "2023-10-14" @default.
- W2896917073 title "Portfolio decision with a quadratic utility and inflation risk" @default.
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- W2896917073 doi "https://doi.org/10.1186/s13662-018-1834-1" @default.
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