CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2009, 25(4) 345-353 DOI:      ISSN: 1001-4268 CN: 31-1256

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Keywords
Utility maximization
CRRA
inflation
CPI
portfolio.
Authors
Wang Guangchen
Wu Zhen
PubMed
Article by
Article by

A Kind of Problem of Maximizing the Expected Utility\\from the Terminal Wealth: the Case of Inflation

Wang Guangchen,Wu Zhen

School of Mathematical Sciences,Shandong Normal University Jiangsu Institute of Economic and Trade Technology

Abstract��

This paper is concerned with a kind of problem
of maximizing the expected utility from the terminal wealth in the
case of inflation. For a class of CRRA utility, we obtain by a
direct method an agent's explicit optimal portfolio strategy and the
corresponding maximum expected utility. Moreover, we give some
economical interpretations. This idea comes from the
completion-of-square technique of linear quadratic optimal control
problems. In Section 3, based on the history data of the stock price
and the inflation rate, the values of the parameters in models are
estimated with SAS software. And then, the explicit optimal
portfolio strategy and the maximum expected utility are also given.

Keywords�� Utility maximization   CRRA   inflation   CPI   portfolio.  
Received 1900-01-01 Revised 1900-01-01 Online:  
DOI:
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Corresponding Authors: Wang Guangchen,
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