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[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.
  • Classification : 91G10, 91G30, 91G15, 60G65, 35Q93
  • Format : Talk at Waseda University
  • Author(s) :
    • Mayank Goel (Birla Institute of Technology and Science Pilani)
    • Ravi Shankar (Birla Institute of Technology and Science Pilani)