How to invest optimally in corporate bonds: a reduced-form approach
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Publication:844585
DOI10.1016/J.JEDC.2007.02.001zbMATH Open1181.91296OpenAlexW3121902595MaRDI QIDQ844585FDOQ844585
Holger Kraft, Mogens Steffensen
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2007.02.001
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Cited In (10)
- Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
- Optimal investment in credit derivatives portfolio under contagion risk
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
- Dynamic credit investment in partially observed markets
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
- Credit portfolio selection with decaying contagion intensities
- What is the impact of stock market contagion on an investor's portfolio choice?
- Large-Scale Loan Portfolio Selection
- Asset allocation with contagion and explicit bankruptcy procedures
- Partial information about contagion risk, self-exciting processes and portfolio optimization
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