Asset allocation with contagion and explicit bankruptcy procedures
DOI10.1016/J.JMATECO.2008.08.006zbMATH Open1153.91533OpenAlexW2073087562MaRDI QIDQ999740FDOQ999740
Holger Kraft, Mogens Steffensen
Publication date: 10 February 2009
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2008.08.006
Recommendations
Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Portfolio theory (91G10)
Cites Work
- The pricing of options and corporate liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Martingales and arbitrage in multiperiod securities markets
- A general version of the fundamental theorem of asset pricing
- Strategic asset allocation
- Title not available (Why is that?)
- On Cox processes and credit risky securities
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- The Markov Chain Market
- Bankruptcy, Counterparty Risk, and Contagion*
- Stochastic Interest Rates and the Bond-Stock Mix
- How to invest optimally in corporate bonds: a reduced-form approach
- MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
Cited In (16)
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
- Optimal investment in credit derivatives portfolio under contagion risk
- Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching
- Dynamic credit investment in partially observed markets
- Robust Optimization of Credit Portfolios
- ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
- Optimal Investment Under Information Driven Contagious Distress
- Distribution of bankruptcy time in a consumption/portfolio problem
- OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK
- What is the impact of stock market contagion on an investor's portfolio choice?
- Large-Scale Loan Portfolio Selection
- Pandemic portfolio choice
- Asset price-GDP cross feedback. The role of dividend policies in a dynamic setting
- Optimal portfolio and consumption selection with default risk
- Partial information about contagion risk, self-exciting processes and portfolio optimization
This page was built for publication: Asset allocation with contagion and explicit bankruptcy procedures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q999740)
