Optimal Portfolio Management in a CIR Framework

被引：0
|
作者：
Wan, Shuping [1 ]
机构：
[1] Jiangxi Univ Finance & Econ, Coll Informat Technol, Nanchang 330013, Peoples R China
来源：
2007 INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-15 | 2007年
关键词：
portfolio; rolling horizon bond; Riccati equation; stochastic dynamic programming;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
The optimal portfolio problem for a bank account, single risky stock and a rolling horizon bond is developed. The stochastic short-term interest rate with the Cox-Ingersoll-Ross (CIR) dynamics affects the prices of the stock and rolling horizon bond. The investment objective is maximizing expected CRRA utility of terminal wealth. The problem has been solved by the stochastic dynamic programming principle and the completion of squares technique. The closed-form optimal trading strategy is obtained. A numerical example illustrating the results is presented.
引用
收藏
页码：4001 / 4003
页数：3
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