Bond portfolio optimization with long-range dependent credits

DOI10.3934/JIMO.2022253MaRDI QIDQ6175328zbMATH OpenOpenAlexFDO

Authors Jie Yin, Hoi Ying Wong

Publication date 21 July 2023

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2022253

zbMATH Keywords

COVID-19 pandemiccredit risklong memoryoptimal portfolio

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Risk models (general) (91B05) Credit risk (91G40)

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Cites work

• A BSDE approach to a risk-based optimal investment of an insurer
• A fractional credit model with long range dependent default rate
• Affine Volterra processes
• Continuous-time stochastic control and optimization with financial applications
• COVID-19 and credit risk: a long memory perspective
• Credit portfolio selection with decaying contagion intensities
• Credit risk: Modelling, valuation and hedging
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Dynamic portfolio optimization with a defaultable security and regime-switching
• Efficient social distancing during the COVID-19 pandemic: integrating economic and public health considerations
• scientific article; zbMATH DE number 1944322 (Why is no real title available?)
• scientific article; zbMATH DE number 194918 (Why is no real title available?)
• Long memory in continuous-time stochastic volatility models
• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• Optimal reinsurance and investment problem for an insurer with counterparty risk
• The Distribution of Realized Exchange Rate Volatility
• Utility maximization in incomplete markets
• Valuation and risk assessment of participating life insurance in the presence of credit risk
• Volterra mortality model: actuarial valuation and risk management with long-range dependence

Cited in

(1)

• Hedging investment-grade and high-yield bonds with credit VIX

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