ABSTRACT

In this paper, we investigate a portfolio selection which is robust with respect to the interest rate uncertainty. For the portfolios with random assets, liabilities and interest rates, we bound from above Value-at-Risk of the change in the portfolio value, due to the interest rate model violation. Next, we find the robust portfolio applicable for a wide range of model perturbations. The robust optimization problem is treated in general and under additional restrictions, for example, on the expected duration of the portfolio. The results are based on the Hilbert space geometry methods applied to incomplete markets.

中文翻译：

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利率不确定性下的稳健投资组合选择

摘要

在本文中，我们研究了一种对利率不确定性具有稳健性的投资组合选择。对于具有随机资产、负债和利率的投资组合，由于违反利率模型，我们从上述投资组合价值变化的风险价值开始绑定。接下来，我们发现适用于各种模型扰动的稳健组合。鲁棒优化问题在一般情况下被处理，并受到额外的限制，例如，投资组合的预期持续时间。结果基于应用于不完全市场的希尔伯特空间几何方法。