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- W3124431858 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.
- W3124431858 created "2021-02-01" @default.
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- W3124431858 date "2002-12-01" @default.
- W3124431858 modified "2023-09-27" @default.
- W3124431858 title "Dynamic Allocation of Treasury and Corporate Bond Portfolios" @default.
- W3124431858 hasPublicationYear "2002" @default.
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