In this article we estimate default intensities within the continuous time Jarrow/Turnbull (1995) model from daily observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided by the Deutsche Bundesbank. Cross-sectional and...

We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov. For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric portfolio policy...

We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov (RFS 2009). For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric...