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- W2364440068 abstract "This paper researched a representative investor how to optimally allocate her wealth among the following securities:defaultable bonds portfolio,stock(stock index) and a bank account,when there is default correlation.Modeled the default correlation through a reduced-form model and solved the dynamics of assets price.Using stochastic control method,obtained a closed-form solution to this optimal problem. Bringing default correlation into investment portfolio and revealing its influence to optimal portfolio are key distinguishing features." @default.
- W2364440068 created "2016-06-24" @default.
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- W2364440068 date "2013-01-01" @default.
- W2364440068 modified "2023-09-25" @default.
- W2364440068 title "Optimal portfolio with defaultable bonds under default correlation" @default.
- W2364440068 hasPublicationYear "2013" @default.
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