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

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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.
Release date NZ
April 13th, 2004
Author
Audience
  • Professional & Vocational
Edition
Softcover reprint of the original 1st ed. 2004
Illustrations
x, 174 p.
Pages
174
Dimensions
156x234x10
ISBN-13
9783540212300
Product ID
2108734

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