Portfolio problems stopping at first hitting time with application to default risk

DOI10.1007/S00186-005-0026-4MaRDI QIDQ2500790zbMATH OpenOpenAlexFDO

Authors Holger Kraft, Mogens Steffensen

Publication date 18 August 2006

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-005-0026-4

zbMATH Keywords

Barrier optionsFeynman-Kac representationOptimal consumption and investmentRandom time horizon

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Portfolio theory (91G10)

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Cites work

• A solution approach to valuation with unhedgeable risks
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• Elasticity approach to portfolio optimization
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• Optimal investment and consumption models with non-linear stock dynamics
• Optimal investment decisions when time-horizon is uncertain
• OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
• Optimum consumption and portfolio rules in a continuous-time model
• The pricing of options and corporate liabilities
• Utility Maximization with Discretionary Stopping
• Wealth-path dependent utility maximization in incomplete markets

Cited in

(15)

• Optimal portfolios: new variations of an old theme
• Dynamic investment and counterparty risk
• Optimal investment and reinsurance for insurers with uncertain time-horizon
• Optimal consumption and investment for markets with random coefficients
• Portfolio optimization of credit swap under funding costs
• Optimal investment in credit derivatives portfolio under contagion risk
• Robust optimization of credit portfolios
• Optimal stopping problems for asset management
• Sequential \delta-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters
• Buy-and-hold mean-variance portfolios with a random exit strategy
• Epstein‐Zin utility maximization on a random horizon
• Statistical arbitrage: factor investing approach
• How to invest optimally in corporate bonds: a reduced-form approach
• Dynamic credit investment in partially observed markets
• Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients

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