Systemic risk breeds default risk. I investigate the optimal portfolio implications of their joint presence for non-myopic investors in arbitrage-free markets when such risks take the form of asset value discontinuities. I contribute to the multiple-asset jump-diffusion portfolio analysis of Das and Uppal (J Financ 59:2809–2834, 2004) by introducing default risk and its investment-horizon effects on optimal portfolios (the optimal investment rules in Das and Uppal (J Financ 59:2809–2834, 2004) are time-invariant) and by linking excess expected returns to risk exposures.

Sbuelz, A., Dynamic asset allocation with default and systemic risks, <<INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE>>, 2017; 257 (N/A): 241-250. [doi:10.1007/978-3-319-61320-8_11] [http://hdl.handle.net/10807/106940]

Dynamic asset allocation with default and systemic risks

Sbuelz, Alessandro
Primo
2018

Abstract

Systemic risk breeds default risk. I investigate the optimal portfolio implications of their joint presence for non-myopic investors in arbitrage-free markets when such risks take the form of asset value discontinuities. I contribute to the multiple-asset jump-diffusion portfolio analysis of Das and Uppal (J Financ 59:2809–2834, 2004) by introducing default risk and its investment-horizon effects on optimal portfolios (the optimal investment rules in Das and Uppal (J Financ 59:2809–2834, 2004) are time-invariant) and by linking excess expected returns to risk exposures.
2018
Inglese
Sbuelz, A., Dynamic asset allocation with default and systemic risks, <<INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE>>, 2017; 257 (N/A): 241-250. [doi:10.1007/978-3-319-61320-8_11] [http://hdl.handle.net/10807/106940]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/106940
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