Optimal Portfolio with a Defaultable Bond

摘要：

　　In this paper we research a representative investor how to optimally allocate her wealth among the following securities: a defaultable bond, a stock and a bank account.We model the defaultable bond price through a reduced-form approach and solve the dynamics of its price.Using martingale methods, we obtain a closed-form solution to this optimal problem.From the solution it is clear that for a jump-risk premium greater than one, namely the market pricing the jump risk in the defaultable bond, the investor will optimally invest a positive amount in the defaultable bond.On the other hand, the investor will optimally invest nothing in the defaultable bond.

关键词： defaultable bond jump risk reduced-form model optimal portfolio martingale method

作者: Bian Shibo

作者单位: Risk Management Research Institute, Shanghai Lixin University of Commerce Antai College of Economics & Management, Shanghai Jiaotong University

会议类型: 国际会议

会议名称: The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 8-15

在线出版日期: 2010-10-14（万方平台首次上网日期，不代表论文的发表时间）