OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK

DOI10.1111/mafi.12074zbMath1348.91248OpenAlexW3122361035MaRDI QIDQ2831003

Agostino Capponi, Li Jun Bo

Publication date: 1 November 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12074

zbMATH Keywords

credit default swapsdynamic portfolio optimizationcontagion riskinteracting default intensities

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (18)

Approximating Nash equilibrium for production control with sticky price ⋮ Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk ⋮ Portfolio Choice with Market--Credit-Risk Dependencies ⋮ Dynamic credit investment in partially observed markets ⋮ Family optimal investment strategy for a random household expenditure under the CEV model ⋮ Large-Scale Loan Portfolio Selection ⋮ Pricing European options under stochastic looping contagion risk model ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Dynamic investment and counterparty risk ⋮ Robust Optimization of Credit Portfolios ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ Optimal bookmaking ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ Dynamic Portfolio Optimization with Looping Contagion Risk ⋮ Credit portfolio selection with decaying contagion intensities ⋮ Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion ⋮ Portfolio optimization of credit swap under funding costs ⋮ Optimal dividend strategy for an insurance group with contagious default risk

Cites Work

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• DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
• An optimal portfolio problem in a defaultable market
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• An Application of Stochastic Control Theory to Financial Economics
• A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
• DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH

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