Dynamic asset allocation with default and systemic risks

Alessandro Sbuelz

doi:10.1007/978-3-319-61320-8_11

Dynamic asset allocation with default and systemic risks

Alessandro Sbuelz^*

^*Corresponding author

Research output: Contribution to journal › Article › peer-review

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 59:2809â2834, 2004) by introducing default risk and its investment-horizon effects on optimal portfolios (the optimal investment rules in Das and Uppal (J Financ 59:2809â2834, 2004) are time-invariant) and by linking excess expected returns to risk exposures.

Original language	English
Pages (from-to)	241-250
Number of pages	10
Journal	International Series in Operations Research and Management Science
Volume	257
Issue number	N/A
DOIs	https://doi.org/10.1007/978-3-319-61320-8_11
Publication status	Published - 2018

All Science Journal Classification (ASJC) codes

Software
Computer Science Applications
Strategy and Management
Management Science and Operations Research
Applied Mathematics

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
Leisure and Hospitality Management
Management Science and Operations Research
Risk premia
Software
Strategic asset allocation
Strategy and Management1409 Tourism
Systemic risk

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10.1007/978-3-319-61320-8_11

Cite this

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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{\^a}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{\^a}2834, 2004) are time-invariant) and by linking excess expected returns to risk exposures.",

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KW - Investment opportunity set

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ER -

Dynamic asset allocation with default and systemic risks

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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