UNIVERSITÄTSBIBLIOTHEK

Portfolio Optimization with Risk Constraints in the View of Stochastic Interest Rates

  • We discuss the portfolio selection problem of an investor/portfolio manager in an arbitrage-free financial market where a money market account, coupon bonds and a stock are traded continuously. We allow for stochastic interest rates and in particular consider one and two-factor Vasicek models for the instantaneous short rates. In both cases we consider a complete and an incomplete market setting by adding a suitable number of bonds. The goal of an investor is to find a portfolio which maximizes expected utility from terminal wealth under budget and present expected short-fall (PESF) risk constraints. We analyze this portfolio optimization problem in both complete and incomplete financial markets in three different cases: (a) when the PESF risk is minimum, (b) when the PESF risk is between minimum and maximum and (c) without risk constraints. (a) corresponds to the portfolio insurer problem, in (b) the risk constraint is binding, i.e., it is satisfied with equality, and (c) corresponds to the unconstrained Merton investment. In all cases we find the optimal terminal wealth and portfolio process using the martingale method and Malliavin calculus respectively. In particular we solve in the incomplete market settings the dual problem explicitly. We compare the optimal terminal wealth in the cases mentioned using numerical examples. Without risk constraints, we further compare the investment strategies for complete and incomplete market numerically.

Volltext Dateien herunterladen

Metadaten exportieren

Metadaten
Verfasserangaben:William Ntambara
URN (Permalink):urn:nbn:de:hbz:386-kluedo-46020
Betreuer:Joern Sass
Dokumentart:Dissertation
Sprache der Veröffentlichung:Englisch
Veröffentlichungsdatum (online):28.02.2017
Datum der Erstveröffentlichung:28.02.2017
Veröffentlichende Institution:Technische Universität Kaiserslautern
Titel verleihende Institution:Technische Universität Kaiserslautern
Datum der Annahme der Abschlussarbeit:10.03.2016
Datum der Publikation (Server):01.03.2017
Seitenzahl:X, 157
Fachbereiche / Organisatorische Einheiten:Fachbereich Mathematik
DDC-Sachgruppen:5 Naturwissenschaften und Mathematik / 510 Mathematik
Lizenz (Deutsch):Creative Commons 4.0 - Namensnennung, nicht kommerziell, keine Bearbeitung (CC BY-NC-ND 4.0)