BFS 2002

Poster Presentation

We study an investment problem in a multi-factor interest rates framework like in Duffie and Kan (1996). We investigate a class of utility functions which extends the HARA family in a natural way, by mantaining its nice properties. The optimal investment strategy is obtained explicitly by assuming that the (stochastic) volatility matrix of the financial assets has a particular form, which is discussed and justified by an equilibrium argument.