Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (Lecture Notes in Economics and Mathematical Systems)

Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (Lecture Notes in Economics and Mathematical Systems) by Holger Kraft epub pdf fb2

Title: Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (Lecture Notes in Economics and Mathematical Systems)
Author: Holger Kraft
ISBN10: 3540212302
ISBN13: 978-3540212300
Publisher: Springer; Softcover reprint of the original 1st ed. 2004 edition (May 27, 2004)
Language: English
Subcategory: Mathematics
Size PDF: 1294 kb
Size Fb2: 1459 kb
Rating: 3.7/5
Votes: 439
Pages: 174 pages
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Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (Lecture Notes in Economics and Mathematical Systems) by Holger Kraft


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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.