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Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

2012-08-27 Business & Economics
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Release : 2012-08-27
Genre : Business & Economics
Kind : eBook
Book Rating : 412/5 ( reviews)

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Book Synopsis Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets by : Holger Kraft

Download or read book Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets written by Holger Kraft. This book was released on 2012-08-27. Available in PDF, EPUB and Kindle. Book excerpt: 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 rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic.

Optimal Portfolios

1997 Business & Economics
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Release : 1997
Genre : Business & Economics
Kind : eBook
Book Rating : 347/5 ( reviews)

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Book Synopsis Optimal Portfolios by : Ralf Korn

Download or read book Optimal Portfolios written by Ralf Korn. This book was released on 1997. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.

More on Optimal Portfolio Choice Under Stochastic Interest Rates

1998
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Release : 1998
Genre :
Kind : eBook
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Book Synopsis More on Optimal Portfolio Choice Under Stochastic Interest Rates by : Abraham Lioui

Download or read book More on Optimal Portfolio Choice Under Stochastic Interest Rates written by Abraham Lioui. This book was released on 1998. Available in PDF, EPUB and Kindle. Book excerpt:

Optimal Portfolios with Stochastic Short Rate

2005
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Release : 2005
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Book Synopsis Optimal Portfolios with Stochastic Short Rate by : Holger Kraft

Download or read book Optimal Portfolios with Stochastic Short Rate written by Holger Kraft. This book was released on 2005. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to highlight some of the problems occuring when one leaves the usual path of portfolio problems with Gaussian interest rates and bounded market price of risk. We solve several portfolio problems for different specifications of the short rate and the market price of risk. More precisely, we consider a Gaussian model, the Cox-Ingersoll-Ross model, and squared Gaussian as well as lognormal specifications of the short rate. Even for the seemingly innocent Gaussian model, the problem may explode in a certain sense if the market price of risk is unbounded. From an economic point of view, in this case the model does not exhibit a partial equilibrium indicating that, for instants, the time-preferences of the investor are not properly modeled. This problem can be overcome by introducing short rate depending time preferences. Above all, we strongly emphasize that it is not straightforward to generalize the existing results on continuous-time portfolio optimization to the case of a Non-Gaussian stochastic short rate or to a Gaussian term structure with unbounded market price of risk.

Pricing Interest-Rate Derivatives

2008-03-18 Business & Economics
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Release : 2008-03-18
Genre : Business & Economics
Kind : eBook
Book Rating : 666/5 ( reviews)

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Book Synopsis Pricing Interest-Rate Derivatives by : Markus Bouziane

Download or read book Pricing Interest-Rate Derivatives written by Markus Bouziane. This book was released on 2008-03-18. Available in PDF, EPUB and Kindle. Book excerpt: The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.

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