Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets /

The continuous-time portfolio problem consists of finding the optimal investment strategy of an investor. In the classical Merton problem the investor can allocate his funds to a riskless savings account and risky assets. However, to get explicit results, it is assumed that the interest rates are de...

Full description

Bibliographic Details

Main Author:	Kraft, Holger
Corporate Author:	SpringerLink (Online service)
Format:	eBook
Language:	English
Published:	Berlin, Heidelberg : Springer Berlin Heidelberg, 2004.
Series:	Lecture notes in economics and mathematical systems ; 540.
Subjects:	Economics. Finance. Electronic books.
Online Access:	Connect to the full text of this electronic book