1 Citation (Scopus)

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.
Original languageEnglish
Pages (from-to)241-250
Number of pages10
JournalINTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE
Volume257
DOIs
Publication statusPublished - 2018

Keywords

  • Applied Mathematics
  • Arbitrage-free markets
  • Computer Science Applications1707 Computer Vision and Pattern Recognition
  • Default risk
  • Investment opportunity set
  • Investment-horizon effects
  • Jump-diffusive processes
  • Management Science and Operations Research
  • Risk premia
  • Software
  • Strategic asset allocation
  • Strategy and Management1409 Tourism, Leisure and Hospitality Management
  • Systemic risk

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