Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior?

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Subfields: Finance

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Dynamic asset allocation with stochastic income and interest rates. (2010, unknown): “Brennan and Xia (2002) and Munk, Sørensen, and Vinther (2004) study how real interest rate risk affects optimal investments when the traded bonds are nominal.”
Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, background): “As adopted in much literature (see Brennan and Xia, 2002 and Munk et al., 2004), we suppose that the price index Π(t) satisfies the following system of stochastic differential equations: dΠ(t) = Π(t) {I(t)dt + σΠ (t)dw(t)} , Π(0) = Π0, (2) where σΠ (t) = (σΠ1(t), σΠ2(t), . . . , σΠm(t)) is the…”
Optimal Portfolio Selection with Life Insurance Under Inflation Risk (2014, background): “Dynamic asset allocation problems including stochastic interest rate and indexed bonds are investigated by Campbell and Viceira (2001), Brennan and Xia (2002), Munk et al. (2004) and Han and Hung (2012).”