Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets:
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 c...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2004
|
| Ausgabe: | 1st ed. 2004 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
540 |
| Schlagworte: | |
| Online-Zugang: | BTU01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (X, 174 p) |
| ISBN: | 9783642170416 |
| DOI: | 10.1007/978-3-642-17041-6 |
Internformat
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| 520 | |a 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 | ||
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| spelling | Kraft, Holger Verfasser aut Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets by Holger Kraft 1st ed. 2004 Berlin, Heidelberg Springer Berlin Heidelberg 2004 1 Online-Ressource (X, 174 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 540 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 Finance, general Quantitative Finance Economic Theory/Quantitative Economics/Mathematical Methods Macroeconomics/Monetary Economics//Financial Economics Finance Economics, Mathematical Economic theory Macroeconomics Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Stochastische optimale Kontrolle (DE-588)4207850-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Stochastische optimale Kontrolle (DE-588)4207850-7 s DE-604 Erscheint auch als Druck-Ausgabe 9783540212300 Erscheint auch als Druck-Ausgabe 9783642170423 https://doi.org/10.1007/978-3-642-17041-6 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kraft, Holger Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets Finance, general Quantitative Finance Economic Theory/Quantitative Economics/Mathematical Methods Macroeconomics/Monetary Economics//Financial Economics Finance Economics, Mathematical Economic theory Macroeconomics Portfolio Selection (DE-588)4046834-3 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4207850-7 (DE-588)4113937-9 |
| title | Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets |
| title_auth | Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets |
| title_exact_search | Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets |
| title_exact_search_txtP | Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets |
| title_full | Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets by Holger Kraft |
| title_fullStr | Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets by Holger Kraft |
| title_full_unstemmed | Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets by Holger Kraft |
| title_short | Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets |
| title_sort | optimal portfolios with stochastic interest rates and defaultable assets |
| topic | Finance, general Quantitative Finance Economic Theory/Quantitative Economics/Mathematical Methods Macroeconomics/Monetary Economics//Financial Economics Finance Economics, Mathematical Economic theory Macroeconomics Portfolio Selection (DE-588)4046834-3 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd |
| topic_facet | Finance, general Quantitative Finance Economic Theory/Quantitative Economics/Mathematical Methods Macroeconomics/Monetary Economics//Financial Economics Finance Economics, Mathematical Economic theory Macroeconomics Portfolio Selection Stochastische optimale Kontrolle Hochschulschrift |
| url | https://doi.org/10.1007/978-3-642-17041-6 |
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