Portfolio selection with liability and affine interest rate in the HARA utility framework (Q1723831)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Portfolio selection with liability and affine interest rate in the HARA utility framework |
scientific article |
Statements
Portfolio selection with liability and affine interest rate in the HARA utility framework (English)
0 references
14 February 2019
0 references
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.
0 references
portfolio selection
0 references
affine interest rate
0 references
HARA utility
0 references
liability management
0 references
0 references
0 references
0 references
0 references
0 references