Optimal stopping problems for asset management
Advances in Applied Probability
655 - 677
Item Usage Stats
MetadataShow full item record
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.
Collateralized debt obligations
Optimal stopping problem
Published Version (Please cite this version)http://dx.doi.org/10.1239/aap/1346955259
Showing items related by title, author, creator and subject.
Bayram V.; Tansel, B.T.; Yaman H. (Elsevier Ltd, 2015)Traffic management during an evacuation and the decision of where to locate the shelters are of critical importance to the performance of an evacuation plan. From the evacuation management authority's point of view, the ...
High performance 3D CMP design with stacked hybrid memory architecture in the dark silicon era using a convex optimization model Onsori, S.; Asad, A.; Raahemifar, K.; Fathy, M. (Institute of Electrical and Electronics Engineers Inc., 2016)In this article, we present a convex optimization model to design a stacked hybrid memory system to improve performance and reduce energy consumption of the chip-multiprocessor (CMP). Our convex model optimizes numbers and ...
Serel, D. A.; Erel, E. (John Wiley & Sons, 2008)Customer demand is sensitive to the price paid for the service in many service environments. Using queueing theory framework, we develop profit maximization models for jointly determining the price and the staffing level ...