TY - JOUR
T1 - Dynamic asset allocation with default and systemic risks
AU - Sbuelz, Alessandro
PY - 2018
Y1 - 2018
N2 - 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.
AB - 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.
KW - Applied Mathematics
KW - Arbitrage-free markets
KW - Computer Science Applications1707 Computer Vision and Pattern Recognition
KW - Default risk
KW - Investment opportunity set
KW - Investment-horizon effects
KW - Jump-diffusive processes
KW - Management Science and Operations Research
KW - Risk premia
KW - Software
KW - Strategic asset allocation
KW - Strategy and Management1409 Tourism, Leisure and Hospitality Management
KW - Systemic risk
KW - Applied Mathematics
KW - Arbitrage-free markets
KW - Computer Science Applications1707 Computer Vision and Pattern Recognition
KW - Default risk
KW - Investment opportunity set
KW - Investment-horizon effects
KW - Jump-diffusive processes
KW - Management Science and Operations Research
KW - Risk premia
KW - Software
KW - Strategic asset allocation
KW - Strategy and Management1409 Tourism, Leisure and Hospitality Management
KW - Systemic risk
UR - http://hdl.handle.net/10807/106940
UR - http://www.springer.com/series/6161
U2 - 10.1007/978-3-319-61320-8_11
DO - 10.1007/978-3-319-61320-8_11
M3 - Article
SN - 0884-8289
VL - 257
SP - 241
EP - 250
JO - INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE
JF - INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE
ER -