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- W4313011462 abstract "Consider the optimal allocation between money market account and corporate bond fund. While the money market account is free of credit risk, corporate bonds are defaultable and exhibit long-range dependence (LRD) in credit risk. We propose a Volterra default intensity model to capture the LRD in credit risk. Using utility maximization, we derive the novel optimal investment strategy for a corporate bond fund. As empirical study shows that the COVID-19 pandemic has lowered the level of LRD in credit risk, we conduct sensitivity analysis and empirically investigate the changes in demand for corporate bonds before and during the pandemic period." @default.
- W4313011462 created "2023-01-05" @default.
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- W4313011462 date "2023-01-01" @default.
- W4313011462 modified "2023-09-30" @default.
- W4313011462 title "Bond portfolio optimization with long-range dependent credits" @default.
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- W4313011462 doi "https://doi.org/10.3934/jimo.2022253" @default.
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