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• W2952931877 abstract "We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale approach and analyze the recursive system of nonlinear Hamilton-Jacobi-Bellman equations associated with the dual problem. We transform such a system into an equivalent system of semi-linear PDEs, for which we establish existence and uniqueness of a bounded global classical solution. We obtain explicit representations for the optimal strategy, consumption path and wealth process, in terms of the solution to the recursive system of semi-linear PDEs. We numerically analyze the sensitivity of the optimal investment strategies to risk aversion, default risk and volatility." @default.
• W2952931877 created "2019-06-27" @default.
• W2952931877 creator A5041916584 @default.
• W2952931877 creator A5056831910 @default.
• W2952931877 date "2018-06-19" @default.
• W2952931877 modified "2023-09-27" @default.
• W2952931877 title "Portfolio Choice with Market-Credit Risk Dependencies" @default.
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• W2952931877 hasPublicationYear "2018" @default.
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