Non-myopic portfolio choice with unpredictable returns: The jump-to-default case

Anna Battauz, Alessandro Sbuelz*

*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in rivistaArticolo in rivista

2 Citazioni (Scopus)


If a risky asset is subject to a jump-to-default event, the investment horizon affects the optimal portfolio rule, even if the asset returns are unpredictable. The optimal rule solves a non-linear differential equation that, by not depending on the investor's pre-default value function, allows for its direct computation. Importantly for financial planners offering portfolio advice for the long term, tiny amounts of constant jump-to-default risk induce marked time variation in the optimal portfolios of long-run conservative investors. Our results are robust to the introduction of multiple non-defaultable risky assets.
Lingua originaleEnglish
pagine (da-a)192-208
Numero di pagine17
RivistaEuropean Financial Management
Stato di pubblicazionePubblicato - 2018


  • Accounting
  • Economics, Econometrics and Finance (all)2001 Economics, Econometrics and Finance (miscellaneous)
  • dynamic asset allocation
  • irreversible regime change
  • jump-to-default risk
  • return predictability
  • time-varying hedging portfolio


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