Optimal portfolios with stochastic interest rates and defaultable assets.
This book is written for readers with a proknowledge in stochastic control theory and portfolio theory. It describes portfolio problems with stochastic interest rates and with defaultable assets. After summing up results of the theory of stochastic control relevant for the further considerations (chapter 1), portfolio problems where the interest rates are governed by other common short rate models are regarded (chapter 2). An elasticity approach to portfolio optimization follows in chapter 3. Chapter 4 treats barrier derivatives with curved boundaries. Chapter 5 describes optimal portfolios with defaultable assets. In chapter 1 (Preliminaries from Stochastics), stochastic differential equations and optimal stochastic control are treated. Chapter 2 (Optimal Portfolios with Stochastic Interest Rates) analyses portfolio problems with interest rate dynamics of the economy described by the Ho-Lee and Vasicek model, the Dothan model, the Black-Karasinski model, and the Cox-Ingersoll-Ross model. Chapter 3 (Elasticity Approach to the Portfolio Optimization) shows that an investor optimizes his portfolio over elasticities and duration in the case of stochastic interest rates. After Björk's result chapter 4 (Derivatives with Curved Boundaries) considers a claim subject to a deterministic exponential boundary. Then, a problem assuminq a Gaussian interest rate model and a discounted boundary is described. As application, defaultable bonds are priced. Chapter 5 (Optimal Portfolios with Defaultable Assets -- A Firm Value Approach) solves portfolio problems when the investor can put funds into defaultable assets. After solving the simplifying approach of the usual problem and ignoring the upper bounds on the numbers of stocks and bonds, it looks at the probability that the solution computed without the above constraints violates these constraints. The general constrained problem is solved under the assumption that the investor maximizes utility from terminal wealth with respect to a logarithmic utility function.
- Elasticity approach to portfolio optimization
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- Robust non-zero-sum investment and reinsurance game with default risk
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Model uncertainty on commodity portfolios, the role of convenience yield
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.
- Dynamic asset allocation with relative wealth concerns in incomplete markets
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- scientific article; zbMATH DE number 5952229 (Why is no real title available?)
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED
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- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause
- Existence of optimal consumption strategies in markets with longevity risk
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- On optimal portfolio choice under stochastic interest rates
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Hedging longevity risk in defined contribution pension schemes
- Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Optimal investment in a general stochastic factor framework under model uncertainty
- Optimal investment strategy for a robust DC pension plan under the Heston model
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Optimal defined-contribution pension management with financial and mortality risks
- Optimal life insurance and annuity decisions under money illusion
- Robust optimal reinsurance and investment strategy for an insurer and a reinsurer with default risks and jumps
- Robust portfolio optimization with multi-factor stochastic volatility
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Pricing derivatives with barriers in a stochastic interest rate environment
- Asset proportions in optimal portfolios with dependent default risks
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