Logarithm utility portfolio for asset and liability management with stochastic interest rates

摘要：

This paper applies the maximum principle to obtain Hamilton-Jocabi-Bellman (HJB) equation for the asset and liability management problem under stochastic interest rate. And the optimal investment strategies under the Ho-Lee model and the Vasicek model are investigated respectively. Logarithm utility function is taken as the risky preference of investors and the closed-form solutions of the optimal investment strategy are derived via adopting Legendre transform approach.

关键词： Stochastic interest rate asset and liability management logarithm utility portfolio HJB equation Legendre transform

作者: Hao CHANG Kai CHANG

作者单位: Department of Mathematics,Tianjin Polytechnic University,Tianjin 300387, China Shenzhen Graduate School,Harbin Institute of Technology,Shenzhen 518055, China

会议类型: 国际会议

会议名称: The 24th Chinese Control and Decision Conference (第24届中国控制与决策学术年会 2012 CCDC)

会议地点: 太原

会议语种:英文

页码: 2047-2050

在线出版日期: 2012-05-23（万方平台首次上网日期，不代表论文的发表时间）