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Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (Lecture Notes in Economics and Mathematical Systems) [Paperback]

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Item description for Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (Lecture Notes in Economics and Mathematical Systems) by Holger Kraft...

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.





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Item Specifications...


Pages   173
Est. Packaging Dimensions:   Length: 9.21" Width: 5.98" Height: 0.47"
Weight:   0.66 lbs.
Binding  Softcover
Release Date   May 27, 2004
Publisher   Springer
ISBN  3540212302  
ISBN13  9783540212300  


Availability  105 units.
Availability accurate as of May 25, 2017 02:34.
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