Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets
Edition: 1 edition
Publisher: Springer
Published: May 27, 2004
Language: eng
Format: Paperback
Number of pages: 173
ISBN-13: 9783540212300
Subjects: Investment & securities; Stochastics; Portfolio management; Economics - General; Business & Economics; Business / Economics / Finance; Business/Economics; Stochastic processes; Economics - Theory; Finance; Business & Economics / Finance; Business & Economics : Economics - Theory; Default Risk; Defaultable Assets; Foreign Assets; Optimal Portfolios; Stochastic Interest Rates; Stochastic Opportunity Set; Mathematical models
First sentence: Portfolio problems in continuous time can be interpreted as control problems.
Notes: Lecture Notes in Economics and Mathematical Systems