Optimal Stopping Problems for Asset Management
نویسندگان
چکیده
An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The manager pays the investors coupons at a constant rate and receives management fee proportional to the value of portfolio. She also has the right to walk out of the contract at any time with the net terminal value of the portfolio after the payment of investors’ initial funds, but is not responsible for any deficit. To control the principal losses, investors may buy from the manager a limited protection which terminates the agreement as soon as the value of the portfolio drops below a predetermined threshold. We assume that the value of the portfolio is a jump-diffusion process and find optimal termination rule of the manager with and without a protection. We also derive the indifference price of a limited protection. We illustrate the solution method on a numerical example. The motivation comes from the collateralized debt obligations.
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تاریخ انتشار 2010