کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099460 | 1377009 | 2008 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
How to invest optimally in corporate bonds: A reduced-form approach
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper, we analyze the impact of default risk on the portfolio decision of an investor wishing to invest in corporate bonds. Default risk is modeled via a reduced-form approach and we allow for random recovery as well as joint default events. Depending on the structure of the model, we are able to derive almost explicit results for the optimal portfolio strategies. It is demonstrated how these strategies change if common default factors can trigger defaults of more than one bond or recovery rates are stochastic. In particular, we analyze the effect of beta distributed loss rates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 2, February 2008, Pages 348-385
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 2, February 2008, Pages 348-385
نویسندگان
Holger Kraft, Mogens Steffensen,