Optimal Investment With Default Risk

This paper investigates how investors who face both equity risk and credit risk would optimally allocate their financial wealth in a dynamic continuous-time setup.

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Year of publication:	2002-03-01
Authors:	Hou, Yuanfeng ; Jin, Xiangrong
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Ausfallrisiko \| Kapitalallokation \| virtual risk adjusted capital \| Wohlfahrtsoptimum

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Table of Contents
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1. Introduction
2. A model with defaultable bond
3. Optimal asset allocation
4. Implication for asset allocation
5. Numerical examples
6. Conclusion
7. References

Persistent link: https://www.econbiz.de/10005843309