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.
|
| Series: | Lecture notes in economics and mathematical systems ;
540. |
| Subjects: |
MARC
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| 100 | 1 | |a Kraft, Holger. | |
| 245 | 1 | 0 | |a Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets / |c by Holger Kraft. |
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg, |c 2004. | ||
| 300 | |a 1 online resource (x, 173 pages 7 illustrations) | ||
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| 490 | 1 | |a Lecture Notes in Economics and Mathematical Systems, |x 0075-8442 ; |v 540. | |
| 505 | 0 | |a 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. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Economics. | |
| 650 | 0 | |a Finance. | |
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| 830 | 0 | |a Lecture notes in economics and mathematical systems ; |v 540. | |
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