Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets: 540 (Lecture Notes in Economics and Mathematical Systems, 540) - Tapa blanda
Libro 60 de 126: Lecture Notes in Economics and Mathematical Systems
Sinopsis
This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper "A stochastic control ap proach to portfolio problems with stochastic interest rates" (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic.
"Sinopsis" puede pertenecer a otra edición de este libro.
Reseña del editor
This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper "A stochastic control ap proach to portfolio problems with stochastic interest rates" (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic.
Reseña del editor
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.
"Sobre este título" puede pertenecer a otra edición de este libro.
Otras ediciones populares con el mismo título
Resultados de la búsqueda para Optimal Portfolios with Stochastic Interest Rates and...
Imagen de archivo
Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (Lecture Notes in Economics and Mathematical Systems, 540)
Librería: Ria Christie Collections, Uxbridge, Reino Unido
Calificación del vendedor: 5 de 5 estrellas
Condición: New. In. Nº de ref. del artículo: ria9783540212300_new
Comprar nuevo
EUR 59,71
Envío por EUR 13,77
Se envía de Reino Unido a Estados Unidos de America
Se envía de Reino Unido a Estados Unidos de America
Cantidad disponible: Más de 20 disponibles
Imagen de archivo
Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Librería: Chiron Media, Wallingford, Reino Unido
Calificación del vendedor: 5 de 5 estrellas
PF. Condición: New. Nº de ref. del artículo: 6666-IUK-9783540212300
Comprar nuevo
EUR 56,47
Envío por EUR 17,81
Se envía de Reino Unido a Estados Unidos de America
Se envía de Reino Unido a Estados Unidos de America
Cantidad disponible: 10 disponibles
Imagen de archivo
Optimal Portfolios With Stochastic Interest Rates and Defaultable Assets
Librería: Books Puddle, New York, NY, Estados Unidos de America
Calificación del vendedor: 4 de 5 estrellas
Condición: New. pp. 188. Nº de ref. del artículo: 263100421
Comprar nuevo
EUR 71,36
Envío por EUR 3,38
Se envía dentro de Estados Unidos de America
Se envía dentro de Estados Unidos de America
Cantidad disponible: 4 disponibles
Imagen del vendedor
Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Publicado por
Springer Berlin Heidelberg Apr 2004, 2004
ISBN 10: 3540212302
ISBN 13: 9783540212300
Nuevo
Taschenbuch
Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper 'A stochastic control ap proach to portfolio problems with stochastic interest rates' (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic. 184 pp. Englisch. Nº de ref. del artículo: 9783540212300
Comprar nuevo
EUR 53,49
Envío por EUR 23,00
Se envía de Alemania a Estados Unidos de America
Se envía de Alemania a Estados Unidos de America
Cantidad disponible: 2 disponibles
Imagen de archivo
Optimal Portfolios With Stochastic Interest Rates and Defaultable Assets
Impresión bajo demandaLibrería: Majestic Books, Hounslow, Reino Unido
Calificación del vendedor: 4 de 5 estrellas
Condición: New. Print on Demand pp. 188 7 Illus. Nº de ref. del artículo: 5828826
Comprar nuevo
EUR 71,44
Envío por EUR 7,47
Se envía de Reino Unido a Estados Unidos de America
Se envía de Reino Unido a Estados Unidos de America
Cantidad disponible: 4 disponibles
Imagen de archivo
Optimal Portfolios With Stochastic Interest Rates and Defaultable Assets
Impresión bajo demandaLibrería: Biblios, Frankfurt am main, HESSE, Alemania
Calificación del vendedor: 4 de 5 estrellas
Condición: New. PRINT ON DEMAND pp. 188. Nº de ref. del artículo: 183100431
Comprar nuevo
EUR 73,34
Envío por EUR 9,95
Se envía de Alemania a Estados Unidos de America
Se envía de Alemania a Estados Unidos de America
Cantidad disponible: 4 disponibles
Imagen del vendedor
Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Publicado por
Springer Berlin Heidelberg, 2004
ISBN 10: 3540212302
ISBN 13: 9783540212300
Nuevo
Tapa blanda
Librería: moluna, Greven, Alemania
Calificación del vendedor: 4 de 5 estrellas
Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my . Nº de ref. del artículo: 4885083
Comprar nuevo
EUR 48,37
Envío por EUR 48,99
Se envía de Alemania a Estados Unidos de America
Se envía de Alemania a Estados Unidos de America
Cantidad disponible: Más de 20 disponibles
Imagen del vendedor
Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Publicado por
Springer Berlin Heidelberg, Springer Berlin Heidelberg Apr 2004, 2004
ISBN 10: 3540212302
ISBN 13: 9783540212300
Nuevo
Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Neuware -This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper 'A stochastic control ap proach to portfolio problems with stochastic interest rates' (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 184 pp. Englisch. Nº de ref. del artículo: 9783540212300
Comprar nuevo
EUR 53,49
Envío por EUR 60,00
Se envía de Alemania a Estados Unidos de America
Se envía de Alemania a Estados Unidos de America
Cantidad disponible: 2 disponibles
Imagen del vendedor
Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper 'A stochastic control ap proach to portfolio problems with stochastic interest rates' (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic. Nº de ref. del artículo: 9783540212300
Comprar nuevo
EUR 53,49
Envío por EUR 61,45
Se envía de Alemania a Estados Unidos de America
Se envía de Alemania a Estados Unidos de America
Cantidad disponible: 1 disponibles
Imagen del vendedor
Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Impresión bajo demandaLibrería: preigu, Osnabrück, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets | Holger Kraft | Taschenbuch | Lecture Notes in Economics and Mathematical Systems | x | Englisch | 2004 | Springer | EAN 9783540212300 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu Print on Demand. Nº de ref. del artículo: 102471308
Comprar nuevo
EUR 50,25
Envío por EUR 70,00
Se envía de Alemania a Estados Unidos de America
Se envía de Alemania a Estados Unidos de America
Cantidad disponible: 5 disponibles