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Optimal Portfolio and Consumption Rule with a cir model Under HARA Utility

Journal of the Operations Research Society of China 2018年第1期6卷 107-137页

作者： Chun-Feng Wang Hao Chang Zhen-Ming Fang College of Management and Economics Tianjin UniversityTianjin 300072China School of Science Tianjin Polytechnic UniversityTianjin 300387China

In the real-world environments,different individuals have different risk *** paper investigates the optimal portfolio and consumption rule with a Cox–Ingersoll–Ross(cir)model in a more general utility *** consumption,an individual invests his wealth into the financial market with one risk-free asset and multiple risky assets,where the short-term rate is driven by the cir model and stock price dynamics are simultaneously influenced by random sources from both stochastic interest rate and stock market *** individual hopes to optimize their portfolios and consumption rules to maximize expected utility of terminal wealth and intermediate *** preference of individual is assumed to satisfy hyperbolic absolute risk aversion(HARA)utility,which contains power utility,logarithm utility,and exponential utility as special *** using the principle of stochastic optimality and Legendre transform-dual theory,the explicit expressions of the optimal portfolio and consumption rule are *** sensitivity of the optimal strategies to main parameters is analysed by a numerical *** addition,economic implications are also *** research results show that Legendre transform-dual theory is an effective methodology in dealing with the portfolio selection problems with HARA utility and interest rate risk can be completely hedged by constructing specific portfolios.

关键词： cir model Optimal portfolios and consumption rules HARA utility Legendre transform-dual theory Stochastic optimal control Economic implicati

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