@inbook{1af8c0d5e1dd47e5b5229865dfe0c53a,
title = "Dynamic Asset Allocation with Default and Systemic Risks",
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.",
keywords = "Arbitrage-free markets, Default risk, Investment opportunity set, Investment-horizon effects, Jump-diffusive processes, Risk premia, Strategic asset allocation, Systemic risk, Arbitrage-free markets, Default risk, Investment opportunity set, Investment-horizon effects, Jump-diffusive processes, Risk premia, Strategic asset allocation, Systemic risk",
author = "Alessandro Sbuelz",
year = "2018",
doi = "10.1007/978-3-319-61320-8_11",
language = "English",
isbn = "978-3-319-61318-5",
volume = "257",
series = "INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE",
pages = "241--250",
editor = "G Consigli and S Stefani and G Zambruno",
booktitle = "Handbook of Recent Advances in Commodity and Financial Modeling. International Series in Operations Research & Management Science, vol 257.",
}