Optimal Portfolio Management in a Vasicek Framework with Minimum Performance Constraints

被引：0

作者：

Wan, Shuping ^{[1
]}

机构：

[1] Jiangxi Univ Finance & Econ, Coll Informat Technol, Nanchang, Jiangxi, Peoples R China

来源：

2008 7TH WORLD CONGRESS ON INTELLIGENT CONTROL AND AUTOMATION, VOLS 1-23 | 2008年

关键词：

Portfolio; Rolling horizon bond; Stochastic benchmark; Minimum performance constraints;

D O I：

10.1109/WCICA.2008.4593846

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Assume the stochastic short-term interest rate follows the Vasieck dynamics. The optimal investment problem for a riskless asset, a rolling horizon bond, and single risky stock is developed. The investment objective is maximizing the expected utility from the terminal wealth with minimum performance constraints. The problem has been solved by the martingale approach. The explicitly optimal investment strategy and optimal wealth with HARA utility are obtained. A numerical example is presented.

引用

页码：5627 / 5631

页数：5

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