Search Results - subject:"stochastic portfolio optimization"

Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of Risk and Financial Management 7 (2014) 4, pp. 130-149

portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the …In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic …

Persistent link: https://www.econbiz.de/10010945731

Risk management of interest rate derivative portfolios: A stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of Risk and Financial Management 7 (2014) 4, pp. 130-149

Persistent link: https://www.econbiz.de/10011843248

Risk management of interest rate derivative portfolios : a stochastic control approach

Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149

Persistent link: https://www.econbiz.de/10011552973

Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization

Tilke, Stephan - Wirtschaftswissenschaftliche Fakultät, Universität … - 2006

The objective of this paper is to study the effect of importance sampling (IS) techniques on stochastic credit portfolio optimization methods. I introduce a framework that leads to a reduction of volatility of resulting optimal portfolio asset weights. Performance of the method is documented in...

Persistent link: https://www.econbiz.de/10005063027