Department of Finance (FI) Forfattere "Björk, Tomas"
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Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu (, 2009)[Flere oplysninger][Færre oplysninger]
Resume: The objective of this paper is to study the mean–variance portfolio optimization in continuous time. Since this problem is time inconsistent we attack it by placing the problem within a game theoretic framework and look for subgame perfect Nash equilibrium strategies. This particular problem has already been studied in [2] where the authors assumed a con stant risk aversion parameter. This assumption leads to an equilibrium control where the dollar amount invested in the risky asset is independent of current wealth, and we argue that this result is unrealistic from an eco nomic point of view. In order to have a more realistic model we instead study the case when the risk aversion depends dynamically on current wealth. This is a substantially more complicated problem than the one with constant risk aversion but, using the general theory of time inconsis tent control developed in [4], we provide a fairly detailed analysis on the general case. In particular, when the risk aversion is inversely proportional to wealth, we provide an analytical solution where the equilibrium dollar amount invested in the risky asset is proportional to current wealth. The equilibrium for this model thus appears more reasonable than the one for the model with constant risk aversion. URI: http://hdl.handle.net/10398/9097 Filer i denne post: 1

Armerin, Frederik; Björk, Tomas; Astrup Jensen, Bjarne (København, 2005)[Flere oplysninger][Færre oplysninger]
Resume: We investigate the possibility of an arbitrage free model for the term structure of interest rates where the yield curve only changes through a parallel shift. We consider HJM type forward rate models driven by a multidimensionalWiener process as well as by a general marked point process. Within this general framework we show that there does indeed exist a large variety of nontrivial parallel shift term structure models, and we also describe these in detail. We also show that there exists no nontrivial flat term structure model. The same analysis is repeated for the similar case, where the yield curve only changes through proportional shifts. Key words: bond market, term structure of interest rates, flat term structures. URI: http://hdl.handle.net/10398/7137 Filer i denne post: 1
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