Optimal Portfolio Model with Minimum Performance Constraints

摘要

The optimal investment problem for a bank account,single risky stock and a rolling horizon bond is developed.The investment objective is to maximize the expected utility of the terminal wealth with minimum performance constraints.The problem has been decomposed into two sub-problems and solved by the martingale approach.Using the option pricing theory,the explicitly optimal investment strategy and optimal wealth with HARA utility are obtained.A numerical example illustrating the results is presented.