Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

Holger Kraft - Collection Lecture Notes in Economics and Mathematical Systems

170 pages, parution le 03/05/2004

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Résumé

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. However, to get explicit results, it is assumed that the interest rates are deterministic and that the assets are default free. In this monograph both assumptions are weakened: The author analyzes and solves portfolio problems with stochastic interest rates and with defaultable assets. Besides, he briefly discusses how portfolio problems with foreign assets can be handled. The focus of the monograph is twofold: On the one hand, the economical problems are carefully explained, on the other hand their formal solution is rigorously presented. For this reason the text should be of interest to researchers with a Finance background as well as to researchers with a more formal background who would like to see how mathematics is applied to portfolio theory.

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Scientists

Sommaire

Preliminaries from Stochastics
Optimal Portfolios with Stochastic Interest Rates
Elasticity Approach to Portfolio Optimization
Barrier Derivatives with Curved Boundaries
Optimal Portfolios with Dafaultable Assets
A Firm Value Approach
References
Abbreviations
Notations

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	PAPIER
Éditeur(s)	Springer
Auteur(s)	Holger Kraft
Collection	Lecture Notes in Economics and Mathematical Systems
Parution	03/05/2004
Nb. de pages	170
Format	15,5 x 23,5
Couverture	Broché
Poids	285g
Intérieur	Noir et Blanc
EAN13	9783540212300