Theoretical solution versus industry standard: Optimal leverage function for CPDOs

DOI10.1007/s11857-009-0081-7zbMath1183.91176OpenAlexW2168353455MaRDI QIDQ845590

Giuseppe Di-Graziano, Ralf Korn, Evren Baydar

Publication date: 29 January 2010

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-009-0081-7

zbMATH Keywords

Hamilton-Jacobi-Bellmann equationconstant proportion debt obligationsoptimal leverage

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites Work

• Theory of constant proportion portfolio insurance
• Quantile hedging
• Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis
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