[00818] BENCHMARKED ASSET MANAGEMENT WITH FIXED INCOME SECURITIES
Session Time & Room : 3C (Aug.23, 13:20-15:00) @A510
Type : Contributed Talk
Abstract : We discuss a continuous-time portfolio optimization problem to beat a stochastic benchmark. In addition to plain equities, the proposed model is suitable to
include fixed-income securities. In the proposed economy, the
dynamics of assets and economic factors are described by non-linear stochastic differential equations, which
make the model vast to account for various interest rate models. We prove the existence and uniqueness of
optimal investment strategies for finite and infinite planning horizons.
