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A stability result for the HARA class with stochastic interest rates

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  • Grasselli, Martino

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  • Grasselli, Martino, 2003. "A stability result for the HARA class with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 611-627, December.
    • Handle: RePEc:eee:insuma:v:33:y:2003:i:3:p:611-627
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    3. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    4. Stanley R. Pliska, 1986. "A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios," Mathematics of Operations Research, INFORMS, vol. 11(2), pages 371-382, May.
    5. Boulier, Jean-Francois & Huang, ShaoJuan & Taillard, Gregory, 2001. "Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 173-189, April.
    6. Richard Rouge & Nicole El Karoui, 2000. "Pricing Via Utility Maximization and Entropy," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 259-276, April.
    7. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    8. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    9. Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2000. "Optimal investment strategies in a CIR framework," ULB Institutional Repository 2013/7594, ULB -- Universite Libre de Bruxelles.
    10. Sørensen, Carsten, 1999. "Dynamic Asset Allocation and Fixed Income Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(4), pages 513-531, December.
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    Cited by:

    1. Sheng Delei, 2016. "The Optimal Strategy of Reinsurance-Investment Problem for an Insurer with Dynamic Income Under Stochastic Interest Rate," Journal of Systems Science and Information, De Gruyter, vol. 4(3), pages 244-257, June.
    2. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
    3. Niu, Liqun, 2008. "Some stability results of optimal investment in a simple Lévy market," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 445-452, February.
    4. Gao, Jianwei & Li, Ming & Liu, Huihui, 2015. "Generalized ordered weighted utility proportional averaging-hyperbolic absolute risk aversion operators and their applications to group decision-making," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 114-132.
    5. Jung, Eun Ju & Kim, Jai Heui, 2012. "Optimal investment strategies for the HARA utility under the constant elasticity of variance model," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 667-673.
    6. Chen Shou & Xiang Shengpeng & He Hongbo, 2019. "Do Time Preferences Matter in Intertemporal Consumption and Portfolio Decisions?," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 19(2), pages 1-13, June.
    7. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
    8. Martino Grasselli, 2005. "Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 28(1), pages 67-78, June.
    9. Gao, Jianwei & Li, Ming & Liu, Huihui, 2015. "Generalized ordered weighted utility averaging-hyperbolic absolute risk aversion operators and their applications to group decision-making," European Journal of Operational Research, Elsevier, vol. 243(1), pages 258-270.
    10. Chang, Hao & Chang, Kai, 2017. "Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 215-227.
    11. Jianwei Gao & Huihui Liu, 2017. "Generalized Ordered Weighted Reference Dependent Utility Aggregation Operators and Their Applications to Group Decision-Making," Group Decision and Negotiation, Springer, vol. 26(6), pages 1173-1207, November.

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