Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic … portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the … for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios …