How to invest optimally in corporate bonds: a reduced-form approach

DOI10.1016/J.JEDC.2007.02.001MaRDI QIDQ844585zbMATHOpenAlexFDO

Authors 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

zbMATH Keywords

beta distributionportfolio optimizationstochastic interest ratesdefault riskrecovery riskjoint default factor

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40) Financial applications of other theories (91G80)

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Cites work

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• OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
• On Cox processes and credit risky securities
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• The pricing of options and corporate liabilities

Cited in

(15)

• Scenario-based dynamic corporate bond portfolio management
• Asset allocation with contagion and explicit bankruptcy procedures
• A portfolio optimization problem with a corporate bond
• Dynamic credit investment in partially observed markets
• Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
• Optimal investment in credit derivatives portfolio under contagion risk
• Credit portfolio selection with decaying contagion intensities
• Bond portfolio optimization with long-range dependent credits
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
• Optimal investment in a defaultable bond
• Large-Scale Loan Portfolio Selection
• What is the impact of stock market contagion on an investor's portfolio choice?
• Hedging market and credit risk in corporate bond portfolios
• Partial information about contagion risk, self-exciting processes and portfolio optimization
• A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence

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