Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk
نویسندگان
چکیده
منابع مشابه
Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk
We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash. On a given time horizon [0, T ], we then maximize the investor’s expected utility of terminal wealth...
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ژورنال
عنوان ژورنال: Risks
سال: 2014
ISSN: 2227-9091
DOI: 10.3390/risks2040469