Portfolio Optimization with Risk Constraints in the View of Stochastic Interest Rates PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Portfolio Optimization with Risk Constraints in the View of Stochastic Interest Rates PDF full book. Access full book title Portfolio Optimization with Risk Constraints in the View of Stochastic Interest Rates by William Ntambara. Download full books in PDF and EPUB format.
Author: William Ntambara
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: William Ntambara
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Ralf Korn
Publisher: World Scientific
ISBN: 9814497126
Category : Business & Economics
Languages : en
Pages : 352
Get Book Here
Book Description
The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).
Author: Holger Kraft
Publisher: Springer Science & Business Media
ISBN: 9783540212300
Category : Business & Economics
Languages : en
Pages : 190
Get Book Here
Book 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. TOC: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.
Author: E. Robert Fernholz
Publisher: Springer Science & Business Media
ISBN: 9780387954059
Category : Business & Economics
Languages : en
Pages : 228
Get Book Here
Book Description
Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.
Author: Bernd Scherer
Publisher: Springer Science & Business Media
ISBN: 9780387210162
Category : Business & Economics
Languages : en
Pages : 442
Get Book Here
Book Description
Portfolio optimization and construction methodologies have become an critical ingredient of asset and fund management, while at same time portfolio risk assesment has become an essential ingredient in risk management.
Author: Carsten Sørensen
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
Get Book Here
Book Description
The paper provides the solution to a dynamic portfolio problem of an investor who faces borrowing and short sales constraints in a setting with stochastic interest rates. The multi-asset dynamic problem is reduced to a constrained quadratic optimization problem which is similar to the well-known problem studied in static mean-variance portfolio theory. As an example and illustration of the general results, the paper focuses on the closed-form portfolio solution of a borrowing constrained long-term investor who cannot perfectly replicate very long-term real bonds and instead uses other securities (e.g. stocks) to hedge real interest risk. The efficiency loss due to, e.g., such a borrowing constraint is addressed.
Author: Ralf Gandy
Publisher:
ISBN:
Category :
Languages : en
Pages : 158
Get Book Here
Book Description
Author: Kevin Riedmüller
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Darinka Dentcheva
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Holger Kraft
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
In this paper we present some counter-examples to show that an uncritical application of the usual methods of continuous-time portfolio optimization can be misleading in the case of a stochastic opportunity set. Cases covered are problems with stochastic interest rates, stochastic volatility, and/or stochastic market price of risk. To classify the problems occurring with stochastic market coefficients we further introduce two notions of stability of portfolio problems.
