OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK

We consider the optimal portfolio problem of a power investor who wishes to allocate her wealth between several credit default swaps (CDSs) and a money market account. We model contagion risk among the reference entities in the portfolio using a reduced‐form Markovian model with interacting default...

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Veröffentlicht in:	Mathematical finance 2016-10, Vol.26 (4), p.785-834
Hauptverfasser:	Bo, Lijun, Capponi, Agostino
Format:	Artikel
Sprache:	eng
Schlagworte:	contagion risk Credit default swaps Default dynamic portfolio optimization Finance interacting default intensities Ordinary differential equations Portfolio management Studies Wealth management
Online-Zugang:	Volltext
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