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Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

  • Holger Kraft

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 540)

Table of contents

  1. Front Matter
    Pages I-X
  2. Holger Kraft
    Pages 1-19
  3. Holger Kraft
    Pages 99-113
  4. Back Matter
    Pages 165-173

About this book

Introduction

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.

Keywords

Bonds Cox-Ingersoll-Ross model Finance Funds Investment Optimal Portfolios Portfolio Portfolio Optimization Portfolio Theory Stochastic Differential Equations Stochastic Interest Rates optimization

Authors and affiliations

  • Holger Kraft
    • 1
  1. 1.Fraunhofer ITWMGottlieb-Daimler-StraßeKaiserslauternGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-17041-6
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-21230-0
  • Online ISBN 978-3-642-17041-6
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site
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