Optimal portfolios: new variations of an old theme |
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| Authors: | Ralf Korn |
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| Affiliation: | 1.Fachbereich Mathematik,Universit?t Kaiserslautern and Fraunhofer ITWM,Kaiserslautern,Germany |
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| Abstract: | We survey some recent developments in the area of continuous-time portfolio optimization. These will include the use of options and of defaultable assets as investment classes and the presentation of a worst-case investment approach that takes the possibility of stock market crashes into account. |
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| Keywords: | Continuous-time portfolio optimization Derivatives Worst-case control |
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