| 書目名稱 | Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets |
| 編輯 | Holger Kraft |
| 視頻video | http://file.papertrans.cn/703/702908/702908.mp4 |
| 叢書名稱 | Lecture Notes in Economics and Mathematical Systems |
| 圖書封面 |  |
| 描述 | 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 onl |
| 出版日期 | Book 2004 |
| 關(guān)鍵詞 | Bonds; Cox-Ingersoll-Ross model; Finance; Funds; Investment; Optimal Portfolios; Portfolio; Portfolio Optim |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-17041-6 |
| isbn_softcover | 978-3-540-21230-0 |
| isbn_ebook | 978-3-642-17041-6Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 2004 |
|Archiver|手機(jī)版|小黑屋|
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