Portfolio selection with liability and affine interest rate in the HARA utility framework
type: Item
instance of: scholarly article
title: Portfolio selection with liability and affine interest rate in the HARA utility framework
zbMATH Open document ID: 1406.91404
DOI: 10.1155/2014/312640
author: Hao Chang
author: Kai Chang
author: Ji-mei Lu
published in: Abstract and Applied Analysis
publication date: 2019-02-14T00:00:00Z
review text: Summary: This paper studied an asset and liability management problem with stochastic interest rate, where interest rate is assumed to be governed by an affine interest rate model, while liability process is driven by the drifted Brownian motion. The investors wish to look for an optimal investment strategy to maximize the expected utility of the terminal surplus under hyperbolic absolute risk aversion (HARA) utility function, which consists of power utility, exponential utility, and logarithm utility as special cases. By applying dynamic programming principle and Legendre transform, the explicit solutions for HARA utility are achieved successfully and some special cases are also discussed. Finally, a numerical example is provided to illustrate our results.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 7022143
zbMATH Keywords: portfolio selection
zbMATH Keywords: affine interest rate
zbMATH Keywords: HARA utility
zbMATH Keywords: liability management
Wikidata QID: Q59038103
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/312640
OpenAlex ID: W1966800637
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description: scientific article; zbMATH DE number 7022143