Optimal Investment With Default Risk
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Citations
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Cited by:
- Lijun Bo & Xindan Li & Yongjin Wang & Xuewei Yang, 2013. "Optimal Investment and Consumption with Default Risk: HARA Utility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 261-281, September.
- Longjie Jia & Martijn Pistorius & Harry Zheng, 2017. "Dynamic Portfolio Optimization with Looping Contagion Risk," Papers 1710.05168, arXiv.org, revised Aug 2018.
- Giulia Di Nunno & Steffen Sjursen, 2013. "Information and optimal investment in defaultable assets," Papers 1312.6032, arXiv.org.
- Giulia Di Nunno & Steffen Sjursen, 2014. "Information And Optimal Investment In Defaultable Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(08), pages 1-27.
- Tomasz Bielecki & Inwon Jang, 2006. "Portfolio optimization with a defaultable security," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 113-127, June.
- Kraft, Holger & Steffensen, Mogens, 2008. "How to invest optimally in corporate bonds: A reduced-form approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 348-385, February.
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More about this item
Keywords
Default Risk; Corporate Bond; Asset Allocation; Welfare Analysis;All these keywords.
JEL classification:
- D9 - Microeconomics - - Micro-Based Behavioral Economics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D6 - Microeconomics - - Welfare Economics
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