Abstract:A continuous-time mean-variance portfolio selection problem is studied under inflation. Firstly, the original
mean-variance problem is turned into a standard stochastic optimal control problem by using Lagrange multiplier technique.
Then, the analytical solution is obtained by applying the dynamic programming approach, and closed form expressions of
the efficient investment strategies and mean-variance efficient frontier are derived. Finally, a numerical example is given to
show the correctness of the results.