Optimal Portfolio Model with Minimum Performance Constraints
The optimal investment problem for a bank account,single risky stock and a rolling horizon bond is developed.The investment objective is to maximize the expected utility of the terminal wealth with minimum performance constraints.The problem has been decomposed into two sub-problems and solved by the martingale approach.Using the option pricing theory,the explicitly optimal investment strategy and optimal wealth with HARA utility are obtained.A numerical example illustrating the results is presented.
Optimal portfolio Rolling horizon bond Stochastic benchmark Minimum performance constraints
Shuping Wan
College of Information Technology,Jiangxi University of Finance and Economic,Nanchang,330013,P.R.China
国际会议
长沙
英文
577-582
2008-10-28（万方平台首次上网日期，不代表论文的发表时间）