Habitat Theory of Modigliani and Sutch, a model for intertemporal preferences accounting for preferred habitats is proposed … term bonds to shorter instruments as the Preferred Habitat Theory predicts. …

incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a … nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy … under the inclusion of transaction costs: The preceding strategy which is locally risk-minimizing inclusive of transaction …

We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for … the relative risk is minimized in the case that the radius is known only to belong to some interval [pr, l'/p] " The … effect of increasing parameter dimension is studied for these models. The minimax increase of relative risk in ease p = 0 …

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …