Faculty of Economics and Business Administration Publications Database

Optimal Portfolios with Defaultable Securities - A Firm Value Approach

Authors:
Ralf, Korn
Source:
Volume: 6
Number: 8
Pages: 793 - 819
Month: December
ISSN-Print: 0219-0249
Link External Source: Online Version
Year: 2003
Keywords: Credit Risk; Elasticity; Investments; Securities Markets; Default
Abstract: Credit risk is an important issue of current research in finance. While there is a lot of work on modeling credit risk, there is only a few works on continuous-time portfolio optimization with defaultable securities. In this paper we solve investment problems with defaultable bonds and stocks. We assume that credit risk is modeled by a firm value model.
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