Risk minimizing strategies for a portfolio of interest-rate securities

MaRDI QIDQ3534754zbMATH OpenFDO

Authors Andrzej Palczewski

Publication date 4 November 2008

zbMATH Keywords

stochastic interest rateasset-liability managementoptimal portfolios

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• Portfolio risk management under incomplete information: a stochastic control method
• Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
• An Application of Stochastic Control Theory to Financial Economics
• Risk minimizing strategies for tracking a stochastic target

Cited in

(4)

• Portfolio risk management under incomplete information: a stochastic control method
• Risk minimizing strategies for tracking a stochastic target
• On the parabolic equation for portfolio problems
• The investor problem based on the HJM model

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