Asset allocation with contagion and explicit bankruptcy procedures

DOI10.1016/j.jmateco.2008.08.006zbMath1153.91533OpenAlexW2073087562MaRDI QIDQ999740

Holger Kraft, Mogens Steffensen

Publication date: 10 February 2009

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2008.08.006

zbMATH Keywords

defaultportfolio optimizationliquidationreorganizationfinite state Markov chain

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

Related Items (14)

ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT ⋮ Dynamic credit investment in partially observed markets ⋮ Large-Scale Loan Portfolio Selection ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ Optimal portfolio and consumption selection with default risk ⋮ Robust Optimization of Credit Portfolios ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ 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 ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK ⋮ Pandemic portfolio choice ⋮ Asset price-GDP cross feedback. The role of dividend policies in a dynamic setting ⋮ OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK

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