Title :
Optimal Portfolio Selection in a CIR Framework with a Solvency Constraint
Author_Institution :
Jiangxi Univ. of Finance & Economic, Nanchang
Abstract :
The optimal investment problem for a riskless asset, a zero-coupon bond, and single risky stock is developed. The short-term interest rates follow the CIR dynamics. 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 :
investment; utility theory; CIR framework; Martingale approach; expected utility; optimal investment problem; optimal portfolio selection; performance constraints; short-term interest rates; solvency constraint; Bonding; Economic indicators; Educational institutions; Finance; Information technology; Investments; Portfolios; Security; Stochastic processes; Utility theory;
Conference_Titel :
Innovative Computing, Information and Control, 2007. ICICIC '07. Second International Conference on
Conference_Location :
Kumamoto
Print_ISBN :
0-7695-2882-1
DOI :
10.1109/ICICIC.2007.430
