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Cookie akzeptierenHolger Kraft
Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
- Springer Berlin Heidelberg
- 2004
- Taschenbuch
- 184 Seiten
- ISBN 9783540212300
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
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