A Risk-Based Approach for Asset Allocation with A Defaultable Share

A Risk-Based Approach for Asset Allocation with A Defaultable Share

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The objective...

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Bibliographic Details
Main Authors: Yang Shen, Tak Kuen Siu
Format: Article
Language:English
Published: MDPI AG 2018-02-01
Series:Risks
Subjects:
asset allocation
sub-additive convex risk measure
default risk
self-exciting threshold diffusion model
time delay
Online Access:http://www.mdpi.com/2227-9091/6/1/14

Internet

http://www.mdpi.com/2227-9091/6/1/14

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