Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation

Farid Mkouar and Jean-Luc Prigent
Authors registered in the RePEc Author Service: Mkaouar Farid

No 2014-301, Working Papers from Department of Research, Ipag Business School

Abstract: We examine the long term investment problem, under stochastic interest and inflation rates and incompleteness. Four basic financial assets are available on the financial market: a money market account (the cash), a real consumption good, a financial st

Keywords: portfolio optimization; stochastic interest rate; stochastic inflation; incom- pleteness; compensating variation.. (search for similar items in EconPapers)
JEL-codes: C61 G11 G12 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-cba, nep-dge and nep-upt
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Citations: View citations in EconPapers (14)

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