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Investigators from Tianjin Polytechnic University Target Applied Analysis (Portfolio Selection with Liability and Affine Interest Rate in the HARA...

August 1, 2014



Investigators from Tianjin Polytechnic University Target Applied Analysis (Portfolio Selection with Liability and Affine Interest Rate in the HARA Utility Framework)

By a News Reporter-Staff News Editor at Science Letter -- Investigators publish new report on Applied Analysis. According to news originating from Tianjin, People's Republic of China, by NewsRx correspondents, research stated, "This paper studied an asset and liability management problem with stochastic interest rate, where interest rate is assumed to be governed by an affine interest rate model, while liability process is driven by the drifted Brownian motion."

Our news journalists obtained a quote from the research from Tianjin Polytechnic University, "The investors wish to look for an optimal investment strategy to maximize the expected utility of the terminal surplus under hyperbolic absolute risk aversion (HARA) utility function, which consists of power utility, exponential utility, and logarithm utility as special cases. By applying dynamic programming principle and Legendre transform, the explicit solutions for HARA utility are achieved successfully and some special cases are also discussed."

According to the news editors, the research concluded: "Finally, a numerical example is provided to illustrate our results."

For more information on this research see: Portfolio Selection with Liability and Affine Interest Rate in the HARA Utility Framework. Abstract and Applied Analysis, 2014;():1-12. Abstract and Applied Analysis can be contacted at: Hindawi Publishing Corporation, 410 Park Avenue, 15TH Floor, #287 Pmb, New York, NY 10022, USA. (Hindawi Publishing - www.hindawi.com; Abstract and Applied Analysis - www.hindawi.com/journals/aaa/)

The news correspondents report that additional information may be obtained from H. Chang, Tianjin Polytechnic Univ, Sch Elect Engn & Automat, Tianjin 300387, People's Republic of China. Additional authors for this research include K. Chang and J.M. Lu (see also Applied Analysis).

Keywords for this news article include: Tianjin, People's Republic of China, Asia, Applied Analysis

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC


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Source: Science Letter


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