Optimal portfolio management in a vasicek framework with minimum performance constraints

Author

Wan, Shuping

Author_Institution

Coll. of Inf. Technol., Jiangxi Univ. of Finance & Econ., Nanchang

fYear

2008

fDate

25-27 June 2008

Firstpage

5627

Lastpage

5631

Abstract

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.

Keywords

economic indicators; investment; stochastic processes; HARA utility; Vasieck dynamics; explicitly optimal investment strategy; minimum performance constraints; optimal investment problem; optimal portfolio management; riskless asset; rolling horizon bond; single risky stock; stochastic short-term interest rate; Automation; Bonding; Economic indicators; Finance; Financial management; Intelligent control; Investments; Portfolios; Stochastic processes; Utility theory; Minimum performance constraints; Portfolio; Rolling horizon bond; Stochastic benchmark;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Control and Automation, 2008. WCICA 2008. 7th World Congress on

Conference_Location

Chongqing

Print_ISBN

978-1-4244-2113-8

Electronic_ISBN

978-1-4244-2114-5

Type

conf

DOI

10.1109/WCICA.2008.4593846

Filename

4593846