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Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Holger Kraft
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Description for Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Paperback. The continuous-time portfolio problem consists of finding the optimal investment strategy of an investor. In the classical Merton problem the investor can allocate his funds to a riskless savings account and risky assets. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 184 pages, 5 black & white tables, biography. BIC Classification: KFFM; PBWL. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 10. Weight in Grams: 600.
This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper "A stochastic control ap proach to portfolio problems with stochastic interest rates" (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short ... Read more
This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper "A stochastic control ap proach to portfolio problems with stochastic interest rates" (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short ... Read more
Product Details
Format
Paperback
Publication date
2004
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
184
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
174
Place of Publication
Berlin, Germany
ISBN
9783540212300
SKU
V9783540212300
Shipping Time
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Ref
99-15
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