Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform

DOI10.1016/J.INSMATHECO.2016.10.014MaRDI QIDQ506093zbMATH OpenOpenAlexFDO

Authors Hao Chang, Kai Chang

Publication date 31 January 2017

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.10.014

zbMATH Keywords

closed-form solutionconsumption-investment problemdynamic programming principleHARA utilityLegendre transformVasicek model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

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• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• An Application of Stochastic Control Theory to Financial Economics
• An equilibrium characterization of the term structure
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• An optimal consumption model with stochastic volatility
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• An optimal portfolio model with stochastic volatility and stochastic interest rate
• Finite horizon optimal investment and consumption with transaction costs
• scientific article; zbMATH DE number 2110605 (Why is no real title available?)
• Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
• ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
• Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
• Optimal consumption and portfolio choice with borrowing constraints
• Optimal investment and consumption decisions under the constant elasticity of variance model
• Optimal investment and consumption with transaction costs
• Optimal investment strategies for the HARA utility under the constant elasticity of variance model
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• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio selection with liability and affine interest rate in the HARA utility framework
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

Cited in

(28)

• Optimal portfolio and consumption rule with a CIR model under HARA utility
• Vasicek model with mixed-exponential jumps and its applications in finance and insurance
• Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
• A solvable time-inconsistent principal-agent problem
• Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework
• Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
• Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model
• The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
• Do time preferences matter in intertemporal consumption and portfolio decisions?
• Optimal reinsurance-investment problem with dependent risks based on Legendre transform
• Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
• Optimal investment strategies for the HARA utility under the constant elasticity of variance model
• Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
• A convergence of optimal investment strategies for the HARA utility functions
• Optimal consumption problem in the Vasicek model
• The investor problem based on the HJM model
• Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
• Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
• Exact solutions of the two-side exit time problems for the Vasicek model
• Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model
• Inter‐temporal mutual‐fund management
• Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
• Some properties of the maximum loss on loan portfolios
• The Legendre transform-dual-asymptotic solution for optimal investment strategy with random incomes
• Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility
• Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
• Legendre transform-dual solution for investment and consumption problem under the Vasicek model

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