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EnglishIf 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.
| 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 |
File in questo prodotto:
| File | Descrizione | Tipologia | Note | Licenza | |
|---|---|---|---|---|---|
| sbuelz battauz efm oct 2015 nd researchgate.pdf | Paper | N/A | Nessuna Nota | Open Access Visualizza/Apri |
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