Portfolio selection with inflation-linked bonds and indexation lags

Production delays and price dynamics

“…Applications of delay differential equations to characterize cyclical economic behavior have a long history; see, e.g.,Haldane (1932) andMackey (1989) . This development has further led to studies on the effect of policy lags on macroeconomic stability inPhillips (1957) ,Asada and Yoshida (2001) , andYoshida and Asada (2007) , asset pricing models in DiGuilmi et al (2014) andGuo et al (2020) , and portfolio management inLi and Liu (2018, 2021) andLi (2019) .…”