Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets / by Holger Kraft.
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 de...
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Full Text (via Springer) |
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| Main Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2004.
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| Series: | Lecture notes in economics and mathematical systems ;
540. |
| Subjects: |
Internet
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| Call Number: |
HG1501-HG3550
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| HG1501-HG3550 | Available |