Artikel
Worst-case portfolio optimization under stochastic interest rate risk
We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash. On a given time horizon [0; T], we then maximize the investor's expected utility of terminal wealth in the worst-case crash scenario. Our main result is an explicit characterization of the worst-case optimal portfolio strategy for the class of HARA (hyperbolic absolute risk aversion) utility functions.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 2 ; Year: 2014 ; Issue: 4 ; Pages: 469-488 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
portfolio optimization
worst-case optimization
stochastic interest rate
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Engler, Tina
Korn, Ralf
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
-
2014
- DOI
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doi:10.3390/risks2040469
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Engler, Tina
- Korn, Ralf
- MDPI
Entstanden
- 2014
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