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    Risks, Vol. 2, Pages 469-488: Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk (2014)
    MDPI
    In: Risks
    Details
    Publication Date: 2014-12-02
    Description: We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash. On a given time horizon [0; T], we then maximize the investor’s expected utility of terminal wealth in the worst-case crash scenario. Our main result is an explicit characterization of the worst-case optimal portfolio strategy for the class of HARA (hyperbolic absolute risk aversion) utility functions.
    Electronic ISSN: 2227-9091
    Topics: Economics
    Published by MDPI
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