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...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2014-12-01
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| coleção: | Risks |
| Assuntos: | |
| Acesso em linha: | http://www.mdpi.com/2227-9091/2/4/469 |
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