Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe

DOI10.1007/S11147-018-9148-8MaRDI QIDQ2423926zbMATH OpenOpenAlexFDO

Authors Benjamin Hippert, André Uhde, Sascha Tobias Wengerek

Publication date 21 June 2019

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-018-9148-8

zbMATH Keywords

corporate credit default swap indicesmean-variance asset allocationout-of-sample portfolio optimizationportfolio performance evaluationportfolio risk-diversification

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• Computing efficient frontiers using estimated parameters
• Portfolio diversification in the sovereign credit swap markets
• Solving semidefinite-quadratic-linear programs using SDPT3

Cited in

(2)

• Portfolio diversification in the sovereign credit swap markets
• Hedging investment-grade and high-yield bonds with credit VIX

Describes a project that uses

Uses Software

• SDPT3

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