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- W3124295625 abstract "In this paper, we solve the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds. Default-risk is modeled in an intensity based framework with state variables following an affine diffusion. The structure of the optimal portfolio over time is investigated and compared to the static mean-variance portfolio. Furthermore, we describe the impact of time varying market prices of risk and interdependencies between interest rates and credit risk on the optimal portfolio structure." @default.
- W3124295625 created "2021-02-01" @default.
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- W3124295625 date "2002-01-01" @default.
- W3124295625 modified "2023-09-27" @default.
- W3124295625 title "Dynamic Allocation of Treasury and Corporate Bond Portfolios" @default.
- W3124295625 hasPublicationYear "2002" @default.
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