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^*

^*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in rivista › Articolo › peer review

1 Citazioni (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.

Lingua originale	Inglese
pagine (da-a)	241-250
Numero di pagine	10
Rivista	International Series in Operations Research and Management Science
Volume	257
Numero di pubblicazione	N/A
DOI	https://doi.org/10.1007/978-3-319-61320-8_11
Stato di pubblicazione	Pubblicato - 2018

All Science Journal Classification (ASJC) codes

Software
Informatica Applicata
Strategia e Management
Scienze della Gestione e Ricerca Operativa
Matematica Applicata

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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Dynamic asset allocation with default and systemic risks

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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