Optimal stopping problems for asset management

被引：0
作者：
机构：
[1] Departments of Industrial Engineering and Mathematics, Bilkent University, 06800 Bilkent, Ankara
[2] Graduate School of Economics, Kyoto University, Sakyo-ku, Kyoto 606-8501, Yoshida-Honmachi
来源：
Dayanik, S. (sdayanik@bilkent.edu.tr) | 2012年 / Applied Probability Trust卷 / 44期
基金：
日本学术振兴会;
关键词：
Asset management; Jump diffusion; Optimal stopping;
D O I：
10.1239/aap/1346955259
中图分类号：
学科分类号：
摘要：
An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The manager pays the investors coupons at a constant rate and receives a management fee proportional to the value of the portfolio. He/she also has the right to walk out of the contract at any time with the net terminal value of the portfolio after payment of the investors' initial funds, and is not responsible for any deficit. To control the principal losses, investors may buy from the manager a limited protection which terminates the agreement as soon as the value of the portfolio drops below a predetermined threshold. We assume that the value of the portfolio is a jump diffusion process and find an optimal termination rule of the manager with and without protection. We also derive the indifference price of a limited protection. We illustrate the solution method on a numerical example. The motivation comes from the collateralized debt obligations. © Applied Probability Trust 2012.
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页码：655 / 677
页数：22
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