0
Your cart

Your cart is empty

Browse All Departments
  • All Departments
Price
  • R500 - R1,000 (1)
  • -
Status
Brand

Showing 1 - 1 of 1 matches in All Departments

Worst-case portfolios with risk processes (Paperback): Canizales Rivera Evgeniya Worst-case portfolios with risk processes (Paperback)
Canizales Rivera Evgeniya
R826 Discovery Miles 8 260 Out of stock

The problem of optimizing investments in the presence of random risk is of real concern for insurance companies. Like ordinary investors, they have a set of risky and non-risky assets as a choice to invest into. But their wealth depends not only on how they allocate the money, but also on the occurring claims that they have to pay for. These claims arrive randomly, and therefore the risk that they represent is not hedgeable. This work explores the investment strategies which take this risk into account. Chapter 1 introduces the model (a diffusion process) for the available assets. Chapter 2 formulates and presents solutions of various optimization problems for the investor, among which maximizing exponential utility of the final wealth and minimizing probability of ruin. It will be shown that the mentioned problems both result in the constant investment independent of the level of wealth of the company. Chapter 3 covers the extension of the model with a possibility of a crash modelled as a fall of the stock prices which get highly correlated at the moment of the crash. The optimal strategy for minimizing exponential utility of final wealth will turn to be the one which is indifferent between occurrence of the highest crash possible and its non-occurrence at all.

Free Delivery
Pinterest Twitter Facebook Google+
You may like...
Crimmigration under International…
Rottem Rosenberg-Rubins Hardcover R3,833 Discovery Miles 38 330
Immigration, Integration and the Law…
Cliodhna Murphy Hardcover R4,458 Discovery Miles 44 580
Borders, Migration and Globalization…
AnnaRita Calabro Hardcover R4,174 Discovery Miles 41 740
Cultural Expertise, Law and Rights - A…
Livia Holden Hardcover R4,139 Discovery Miles 41 390
A Commentary on the Council of Europe…
Julia Planitzer, Helmut Sax Hardcover R7,366 Discovery Miles 73 660
Asylum - A Right Denied - A Critical…
Helen O'nions Hardcover R4,449 Discovery Miles 44 490
Europe and Extraterritorial Asylum
Maarten Den Heijer Hardcover R3,359 Discovery Miles 33 590
Migration, Terrorism, and the Future of…
Christopher Deliso Hardcover R2,647 Discovery Miles 26 470
Teaching Migration and Asylum Law…
Richard Grimes, Ulrich Stege, … Hardcover R4,139 Discovery Miles 41 390
Migration Law, Policy and Human Rights…
Rachael Dickson Hardcover R4,150 Discovery Miles 41 500

 

Partners