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Optimal Investment In Credit Derivatives Portfolio Under Contagion Risk

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  • Lijun Bo
  • Agostino Capponi

Abstract

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Suggested Citation

  • Lijun Bo & Agostino Capponi, 2016. "Optimal Investment In Credit Derivatives Portfolio Under Contagion Risk," Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 785-834, October.
    • Handle: RePEc:bla:mathfi:v:26:y:2016:i:4:p:785-834
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    File URL: http://hdl.handle.net/10.1111/mafi.2016.26.issue-4
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    Citations

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    Cited by:

    1. Lijun Bo & Agostino Capponi, 2018. "Portfolio Choice with Market-Credit Risk Dependencies," Papers 1806.07175, arXiv.org.
    2. Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
    3. Lijun Bo & Agostino Capponi, 2016. "Optimal Investment under Information Driven Contagious Distress," Papers 1612.06133, arXiv.org.
    4. Zhao, Hui & Shen, Yang & Zeng, Yan & Zhang, Wenjun, 2019. "Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 159-180.
    5. Yang Shen & Tak Kuen Siu, 2018. "A Risk-Based Approach for Asset Allocation with A Defaultable Share," Risks, MDPI, vol. 6(1), pages 1-27, February.
    6. Lijun Bo & Huafu Liao & Xiang Yu, 2017. "Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching," Papers 1712.05676, arXiv.org, revised Oct 2018.
    7. Lorig, Matthew & Zhou, Zhou & Zou, Bin, 2021. "Optimal bookmaking," European Journal of Operational Research, Elsevier, vol. 295(2), pages 560-574.
    8. Guiyuan Ma & Song-Ping Zhu, 2022. "Revisiting the Merton Problem: from HARA to CARA Utility," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 651-686, February.

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