Asset allocation with contagion and explicit bankruptcy procedures

DOI10.1016/J.JMATECO.2008.08.006MaRDI QIDQ999740zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

defaultportfolio optimizationliquidationreorganizationfinite state Markov chain

Mathematics Subject Classification ID

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)

Recommendations

• Risk-sensitive asset management and cascading defaults
• Optimal investment under information driven contagious distress
• Credit portfolio selection with decaying contagion intensities
• Optimal investment in credit derivatives portfolio under contagion risk
• Bankruptcy, Counterparty Risk, and Contagion*

Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• Bankruptcy, Counterparty Risk, and Contagion*
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• How to invest optimally in corporate bonds: a reduced-form approach
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• Martingales and arbitrage in multiperiod securities markets
• On Cox processes and credit risky securities
• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic Interest Rates and the Bond-Stock Mix
• Strategic asset allocation
• The Markov Chain Market
• The pricing of options and corporate liabilities

Cited in

(16)

• Asset price-GDP cross feedback. The role of dividend policies in a dynamic setting
• Robust optimization of credit portfolios
• Dynamic credit investment in partially observed markets
• Optimal investment in credit derivatives portfolio under contagion risk
• Pandemic portfolio choice
• Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
• Optimal portfolio and consumption selection with default risk
• ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS
• Large-Scale Loan Portfolio Selection
• Optimal portfolio choice with crash and default risk
• What is the impact of stock market contagion on an investor's portfolio choice?
• Distribution of bankruptcy time in a consumption/portfolio problem
• Partial information about contagion risk, self-exciting processes and portfolio optimization
• Optimal investment under information driven contagious distress
• Risk sensitive portfolio optimization with default contagion and regime-switching
• A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence

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