Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
The paper presents an application of stochastic control methods to fixed income management in an incomplete market with external economic factors. The objective of an investor is the minimization of a shortfall risk. The problem is reduced to the multidimensional Bellman equation. It is shown that for a large class of loss functions the equation possesses a continuous solution. We also consider loss functions from the HARA class and prove that for such functions the Hamilton-Jacobi-Bellman equation has a sufficiently smooth solution. This solution guarantees the existence of a well defined investment strategy. A special example of the bond portfolio with interest rates governed by the Gaussian HJM model is solved explicitly.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
195-212
Opis fizyczny
Daty
wydano
2008
Twórcy
autor
- Institute of Applied Mathematics, University of Warsaw, Banacha 2, 02-097 Warszawa, Poland
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-12