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- W1973837093 abstract "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." @default.
- W1973837093 created "2016-06-24" @default.
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- W1973837093 date "2012-05-01" @default.
- W1973837093 modified "2023-10-16" @default.
- W1973837093 title "Logarithm utility portfolio for asset and liability management with stochastic interest rates" @default.
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- W1973837093 doi "https://doi.org/10.1109/ccdc.2012.6244328" @default.
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