Elasticity approach to portfolio optimization

DOI10.1007/s001860300296zbMath1042.93060OpenAlexW3124961215MaRDI QIDQ1423714

Holger Kraft

Publication date: 7 March 2004

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860300296

zbMATH Keywords

elasticityderivativesoptimal portfoliodurationstochastic interest rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (5)

Portfolio optimization in a regime-switching market with derivatives ⋮ Derivatives-based portfolio decisions: an expected utility insight ⋮ Portfolio problems stopping at first hitting time with application to default risk ⋮ OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED ⋮ A martingale approach for asset allocation with derivative security and hidden economic risk

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