TY - RPRT
A1 - Krekel, M.
T1 - Optimal Portfolios With A Loan Dependent Credit Spread
N2 - If an investor borrows money he generally has to pay higher interest rates than he would have received, if he had put his funds on a savings account. The classical model of continuous time portfolio optimisation ignores this effect. Since there is obviously a connection between the default probability and the total percentage of wealth, which the investor is in debt, we study portfolio optimisation with a control dependent interest rate. Assuming a logarithmic and a power utility function, respectively, we prove explicit formulae of the optimal control.
T3 - Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) - 32
KW - Portfolio optimisation
KW - stochastic control
KW - HJB equation
KW - credit spread
KW - log utility
KW - power utility
KW - non-linear wealth dynamics
Y1 - 2002
UR - https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1485
UR - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hbz:386-kluedo-12953
ER -