How to invest optimally in corporate bonds: a reduced-form approach

DOI10.1016/j.jedc.2007.02.001zbMath1181.91296OpenAlexW3121902595MaRDI QIDQ844585

Holger Kraft, Mogens Steffensen

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.02.001

zbMATH Keywords

portfolio optimizationdefault riskstochastic interest ratesbeta distributionrecovery riskjoint default factor

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10) Credit risk (91G40)

Related Items

Dynamic credit investment in partially observed markets ⋮ Large-Scale Loan Portfolio Selection ⋮ The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts ⋮ Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ What is the impact of stock market contagion on an investor's portfolio choice? ⋮ Partial information about contagion risk, self-exciting processes and portfolio optimization ⋮ Credit portfolio selection with decaying contagion intensities ⋮ Asset allocation with contagion and explicit bankruptcy procedures ⋮ OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• On Cox processes and credit risky securities
• Term structure modelling of defaultable bonds
• Martingales and arbitrage in multiperiod securities markets
• A general version of the fundamental theorem of asset pricing
• Asymptotic arbitrage in large financial markets
• Portfolio problems stopping at first hitting time with application to default risk
• Term Structures of Credit Spreads with Incomplete Accounting Information
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
• An Intertemporal Capital Asset Pricing Model
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
• A solution approach to valuation with unhedgeable risks