Optimal Investment and Consumption with Default Risk: HARA Utility

被引：7
|
作者：
Bo L. [1 ]
Li X. [2 ]
Wang Y. [3 ]
Yang X. [2 ]
机构：
[1] Department of Mathematics, Xidian University, Xi'an
[2] School of Management and Engineering, Nanjing University, Nanjing
[3] School of Business, Nankai University, Tianjin
来源：
Asia-Pacific Financial Markets | 2013年 / 20卷 / 3期
基金：
中国国家自然科学基金;
关键词：
Defaultable market; HJB equation; Optimal control; Perpetual bond; Portfolio optimization;
D O I：
10.1007/s10690-013-9167-2
中图分类号：
学科分类号：
摘要：
In this paper, we consider a portfolio optimization problem in a defaultable market. The representative investor dynamically allocates his or her wealth among the following securities: a perpetual defaultable bond, a money market account and a default-free risky asset. The optimal investment and consumption policies that maximize the infinite horizon expected discounted HARA utility of the consumption are explicitly derived. Moreover, numerical illustrations are also presented. © 2013 Springer Science+Business Media New York.
引用
收藏
页码：261 / 281
页数：20
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