Portfolio Selection with Liability and Affine Interest Rate in the HARA Utility Framework
Joint Authors
Chang, Kai
Lu, Ji-mei
Chang, Hao
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-17
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
This paper studied an asset and liability management problem with stochastic interest rate, where interestrate is assumed to be governed by an affine interest rate model, while liability process is driven by the driftedBrownian motion.
The investors wish to look for an optimal investment strategy to maximize the expected utilityof the terminal surplus under hyperbolic absolute risk aversion (HARA) utility function, which consists of powerutility, exponential utility, and logarithm utility as special cases.
By applying dynamic programming principleand Legendre transform, the explicit solutions for HARA utility are achieved successfully and some special casesare also discussed.
Finally, a numerical example is provided to illustrate our results.
American Psychological Association (APA)
Chang, Hao& Chang, Kai& Lu, Ji-mei. 2014. Portfolio Selection with Liability and Affine Interest Rate in the HARA Utility Framework. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1033678
Modern Language Association (MLA)
Chang, Hao…[et al.]. Portfolio Selection with Liability and Affine Interest Rate in the HARA Utility Framework. Abstract and Applied Analysis No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-1033678
American Medical Association (AMA)
Chang, Hao& Chang, Kai& Lu, Ji-mei. Portfolio Selection with Liability and Affine Interest Rate in the HARA Utility Framework. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1033678
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1033678