An optimal Markovian consumption-investment problem in a market with longevity bonds

Raso, Vanessa (2011) An optimal Markovian consumption-investment problem in a market with longevity bonds. Tesi di Dottorato, LUISS Guido Carli, Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance, tutor: Giovanna Nappo, p. 113. [Doctoral Thesis]

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Abstract/Index

Market, portfolio and arbitrage. Short rate models. Survival models. Financial and mortality risk models. The Optimal Portfolio. The Optimal Portfolio: the CRRA utility case. The Optimal Portfolio: a numerical simulation of the CRRA utility case.

References

Bibliografia: pp. 112-113.

Item Type:Doctoral Thesis (PhD)
Research documents and activity classification:LUISS PhD Thesis
Divisions:Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance
Thesis Advisor:Nappo, Giovanna
Additional Information:Dottorato di Ricerca in Metodi matematici per l'economia, l'azienda, la finanza e le assicurazioni (XXII ciclo), LUISS Guido Carli, Roma, 2011. Relatore: Prof. Giovanna Nappo.
Uncontrolled Keywords:Longevity risk. Rolling bonds. Dynamic programming.
MIUR Scientific Area:Area 13 - Economics and Statistics > SECS-S/06 Mathematics for Economics, Actuarial Studies and Finance
Area 01 - Mathematics and Computer Science > MAT/06 Probability and Mathematical Statistics
Deposited By:Chiara Annulli (admin)
Deposited On:03 Aug 2011 12:34
Last Modified:28 May 2013 23:04

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