Portfolio selection with liability and affine interest rate in the HARA utility framework

DOI10.1155/2014/312640zbMath1406.91404OpenAlexW1966800637WikidataQ59038103 ScholiaQ59038103MaRDI QIDQ1723831

Ji-mei Lu, Kai Chang, Hao Chang

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/312640

zbMATH Keywords

portfolio selectionHARA utilityliability managementaffine interest rate

Mathematics Subject Classification ID

Utility theory (91B16) Dynamic programming (90C39) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (5)

Optimal portfolio and consumption rule with a CIR model under HARA utility ⋮ Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments ⋮ Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences ⋮ Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform ⋮ Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework

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