If the risky asset is subject to a jump-to-default event, the investment horizon enters the optimal portfolio rule even if asset returns are unpredictable. The optimal rule solves a non-linear differential equation that, by not depending on the investor's pre-default value function, allows for its direct computation. Importantly for financial planners offering portfolio advice for the long term, tiny amounts of constant jump-to-default risk induce a marked time variation in the optimal portfolios of long-run conservative investors.
Sbuelz, A., Battauz, A., Non-Myopic Portfolio Choice with Unpredictable Returns: The Jump-to-Default Case , 2015, URL: http://www.researchgate.net/publication/283078679 [http://hdl.handle.net/10807/68184]
Autori: | |
Titolo: | Non-Myopic Portfolio Choice with Unpredictable Returns: The Jump-to-Default Case |
Indirizzo del sito web: | http://www.researchgate.net/publication/283078679 |
URL: | http://www.researchgate.net/publication/283078679 |
Data di pubblicazione: | 2015 |
Abstract: | If the risky asset is subject to a jump-to-default event, the investment horizon enters the optimal portfolio rule even if asset returns are unpredictable. The optimal rule solves a non-linear differential equation that, by not depending on the investor's pre-default value function, allows for its direct computation. Importantly for financial planners offering portfolio advice for the long term, tiny amounts of constant jump-to-default risk induce a marked time variation in the optimal portfolios of long-run conservative investors. |
Lingua: | Inglese |
Citazione: | Sbuelz, A., Battauz, A., Non-Myopic Portfolio Choice with Unpredictable Returns: The Jump-to-Default Case , 2015, URL: http://www.researchgate.net/publication/283078679 [http://hdl.handle.net/10807/68184] |
Altre informazioni significative: | DOI: 10.13140/RG.2.1.1615.1760 |
Appare nelle tipologie: | Articolo su web |
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