Download or read book On The Stability of Continuous Time Portfolio Problems with Stochastic Opportunity Set written by Holger Kraft and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present some counter-examples to show that an uncritical application of the usual methods of continuous-time portfolio optimization can be misleading in the case of a stochastic opportunity set. Cases covered are problems with stochastic interest rates, stochastic volatility, and/or stochastic market price of risk. To classify the problems occurring with stochastic market coefficients we further introduce two notions of stability of portfolio problems.

Download or read book Random Dynamical Systems in Finance written by Anatoliy Swishchuk and published by CRC Press. This book was released on 2016-04-19 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory and applications of random dynamical systems (RDS) are at the cutting edge of research in mathematics and economics, particularly in modeling the long-run evolution of economic systems subject to exogenous random shocks. Despite this interest, there are no books available that solely focus on RDS in finance and economics. Exploring this

Download or read book Optimal Portfolios written by Ralf Korn and published by World Scientific. This book was released on 1997 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.

Download or read book Advanced Financial Modelling written by Hansjörg Albrecher and published by Walter de Gruyter. This book was released on 2009-12-15 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state–of–the–art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a 'Special Semester on Stochastics with Emphasis on Finance' that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria.

Download or read book Dynamic Asset Allocation with Forwards and Futures written by Abraham Lioui and published by Springer Science & Business Media. This book was released on 2005-03-30 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (majoring in finance with quantitative skills) academics (both theoreticians and empiricists), practitioners, and regulators.

Download or read book Model Risk In Financial Markets From Financial Engineering To Risk Management written by Radu Sebastian Tunaru and published by World Scientific. This book was released on 2015-06-08 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution.Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed.

Download or read book Stochastic Portfolio Theory written by E. Robert Fernholz and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.

Download or read book A Perturbation Approach to Continuous Time Portfolio Selection written by Dietmar Leisen and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies portfolio selection in continuous-time models with stochastic investment opportunities. We consider asset allocation problems where preferences are specified as power utility derived from terminal wealth as well as consumption-savings problems with recursive utility Epstein-Zin preferences. The paper approximates the associated dynamic programming problem by perturbing the coefficients of the stochastic dynamics. We represent the Hamilton-Jacobi-Bellman equation as a series of partial differential equations that can be solved iteratively in closed-form through computer algebra software, at any desired accuracy.

Download or read book Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets written by Holger Kraft and published by . This book was released on 2004-04-13 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 1608 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Problems in Single Period Multiple Period and Continuous Time Models written by Christopher A. Najim and published by . This book was released on 1992 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Australian Economic Papers written by and published by . This book was released on 2005 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Portfolios with Stochastic Short Rate written by Holger Kraft and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to highlight some of the problems occuring when one leaves the usual path of portfolio problems with Gaussian interest rates and bounded market price of risk. We solve several portfolio problems for different specifications of the short rate and the market price of risk. More precisely, we consider a Gaussian model, the Cox-Ingersoll-Ross model, and squared Gaussian as well as lognormal specifications of the short rate. Even for the seemingly innocent Gaussian model, the problem may explode in a certain sense if the market price of risk is unbounded. From an economic point of view, in this case the model does not exhibit a partial equilibrium indicating that, for instants, the time-preferences of the investor are not properly modeled. This problem can be overcome by introducing short rate depending time preferences. Above all, we strongly emphasize that it is not straightforward to generalize the existing results on continuous-time portfolio optimization to the case of a Non-Gaussian stochastic short rate or to a Gaussian term structure with unbounded market price of risk.

Download or read book Closed form Solutions to Discrete time Portfolio Optimization Problems written by Mathias Christian Göggel and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In this work, we study some discrete time portfolio optimization problems. After a brief introduction of the corresponding continuous time models, we introduce the discrete time financial market model. The change in asset prices is modeled in contrast to the continuous time market by stochastic difference equations. We provide solutions for these stochastic difference equations. Then we introduce the discrete time risk-measure and the portfolio optimization problems. We provide closed form solutions to the discrete time problems. The main contribution of this thesis are the closed form solutions to the discrete time portfolio models. For simulation purposes the discrete time financial market is better. Examples illustrating our theoretical results are provided"--Abstract, leaf iii

Download or read book Portfolio Efficiency with Stochastic Opportunity Sets written by Douglas T. Breeden and published by . This book was released on 1980 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A duality approach to a stochastic consumption portfolio decision problem in a continuous time market with short selling prohibition written by Gan-Lin Xu and published by . This book was released on 1990 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Tools and Techniques for Economic Decision Analysis written by Stankovi?, Jelena and published by IGI Global. This book was released on 2016-10-31 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The success of any business relies heavily on the evaluation and improvement on current strategies and processes. Such progress can be facilitated by implementing more effective decision-making systems. Tools and Techniques for Economic Decision Analysis provides a thorough overview of decision models and methodologies in the context of business economics. Highlighting a variety of relevant issues on finance, economic policy, and firms and networks, this book is an ideal reference source for managers, professionals, students, and academics interested in emerging developments for decision analysis.