Optimal portfolio and consumption rule with a CIR model under HARA utility

DOI10.1007/s40305-017-0189-8zbMath1413.91090OpenAlexW2782838887MaRDI QIDQ1655923

Hao Chang, Zhen-Ming Fang, Chun-Feng Wang

Publication date: 10 August 2018

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-017-0189-8

zbMATH Keywords

stochastic optimal controlCIR modelHARA utilityeconomic implicationLegendre transform-dual theoryoptimal portfolios and consumption rules

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

On a parabolic partial differential equation and system modeling a production planning problem ⋮ Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments

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