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    Book

    Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

    Dr. Holger Kraft in Lecture Notes in Economics and Mathematical Systems (2004)

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    Chapter

    Preliminaries from Stochastics

    Portfolio problems in continuous time can be interpreted as control problems. To this end, in this chapter we sum up results of the theory of stochastic control which are relevant to our further considerations.1

    … in Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (2004)

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    Chapter

    Barrier Derivatives with Curved Boundaries

    Barrier options are subject to intensive research. Merton (1973) was the first who derived a closed-form solution for the down-and-out call with constant barrier. Further references are Cox/Rubinstein (1985), ...

    … in Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (2004)

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    Chapter

    Elasticity Approach to Portfolio Optimization

    Portfolio optimization has been one of the most heavily researched areas in finance dating back to the work by Markowitz (1952) who used a discrete one period model to develop his theory. Merton (1969, 1971) w...

    … in Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (2004)

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    Chapter

    Optimal Portfolios with Defaultable Assets — A Firm Value Approach

    In his pioneering work Merton (1969, 1971) considered an investor who allocates wealth to stocks and to a riskless money market account. However, the assumption is made that the interest rates are deterministi...

    … in Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (2004)

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    Chapter

    Optimal Portfolios with Stochastic Interest Rates

    The continuous-time portfolio problem has its origin in the pioneering work of Merton (1969, 1971), which deals with finding the optimal investment strategy of an investor. More precisely, the investor looks f...

    … in Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets (2004)