Systemic risk breeds default risk. I investigate the optimal portfolio implications of their joint presence for non-myopic investors in arbitrage-free markets when such risks take the form of asset value discontinuities. I contribute to the multiple-asset jump-diffusion portfolio analysis of Das and Uppal (J Financ 59:2809–2834, 2004) by introducing default risk and its investment-horizon effects on optimal portfolios (the optimal investment rules in Das and Uppal (J Financ 59:2809–2834, 2004) are time-invariant) and by linking excess expected returns to risk exposures.
CITATION STYLE
Sbuelz, A. (2018). Dynamic asset allocation with default and systemic risks. In International Series in Operations Research and Management Science (Vol. 257, pp. 241–250). Springer New York LLC. https://doi.org/10.1007/978-3-319-61320-8_11
Mendeley helps you to discover research relevant for your work.