DocumentCode
2742941
Title
Optimal Portfolio Selection in a CIR Framework with a Solvency Constraint
Author
Wan, Shuping
Author_Institution
Jiangxi Univ. of Finance & Economic, Nanchang
fYear
2007
fDate
5-7 Sept. 2007
Firstpage
594
Lastpage
594
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Innovative Computing, Information and Control, 2007. ICICIC '07. Second International Conference on
Conference_Location
Kumamoto
Print_ISBN
0-7695-2882-1
Type
conf
DOI
10.1109/ICICIC.2007.430
Filename
4428235
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