OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH

DOI10.1142/S0219024903002213zbMath1079.91036MaRDI QIDQ5696877

Holger Kraft, Ralf Korn

Publication date: 19 October 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

elasticitycredit riskdurationoptimal portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (16)

How to invest optimally in corporate bonds: a reduced-form approach ⋮ Portfolio optimization with a defaultable security ⋮ Optimal investment and consumption with default risk: HARA utility ⋮ Non-zero-sum stochastic differential reinsurance and investment games with default risk ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps ⋮ Epstein‐Zin utility maximization on a random horizon ⋮ Optimal portfolio and consumption selection with default risk ⋮ Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market ⋮ Dynamic Portfolio Optimization with Looping Contagion Risk ⋮ Portfolio problems stopping at first hitting time with application to default risk ⋮ An optimal portfolio problem in a defaultable market ⋮ Portfolio optimization of credit swap under funding costs ⋮ Optimal reinsurance and investment problem with default risk and bounded memory ⋮ OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK ⋮ Optimal portfolios: new variations of an old theme ⋮ OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK

Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• A variational problem arising in financial economics
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Convex duality in constrained portfolio optimization
• Optimal control of option portfolios and applications
• A Theory of the Term Structure of Interest Rates
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• An equilibrium characterization of the term structure
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