Optimal Portfolios with Defaultable Securities: A Firm Value Approach
Posted: 10 Mar 2002
There are 2 versions of this paper
Optimal Portfolios with Defaultable Securities: A Firm Value Approach
Posted: 10 Mar 2002
You are currently viewing this paper
Abstract
Credit risk is an important issue of current research in finance. While there is a lot of work on modelling credit risk and on valuing credit derivatives there is no work on continuous-time portfolio optimization with defaultable securities. Therefore, in this paper we solve investment problems with defaultable bonds and stocks. Besides, our approach can be applied to portfolio problems, where the investor has the opportunity to put her wealth into derivatives with counterparty risk or credit derivatives.
Suggested Citation: Suggested Citation
Korn, Ralf and Kraft, Holger, Optimal Portfolios with Defaultable Securities: A Firm Value Approach. Available at SSRN: https://ssrn.com/abstract=301933
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.