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, in Consigli, G., Stefani, S., Zambruno, G. (ed.), Handbook of Recent Advances in Commodity and Financial Modeling. International Series in Operations Research & Management Science, vol 257., Springer New York LLC, Cham 2018: <<INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE>>, 257 241- 250. 10.1007/978-3-319-61320-8_11 [http://hdl.handle.net/10807/169300]
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.