Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets by Holg

Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets by Holger Kraft

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Description 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.

Publisher Description

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.

Details ISBN 3540212302 ISBN-13 9783540212300 Title Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets Author Holger Kraft Format Paperback Year 2004 Pages 174 Edition 1st Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG GE_Item_ID:140616628; About Us

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