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Dynamic Asset Allocation with Default and Systemic Risks

In: Handbook of Recent Advances in Commodity and Financial Modeling

Author

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  • Alessandro Sbuelz

    (Catholic University of Milan)

Abstract

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.

Suggested Citation

  • Alessandro Sbuelz, 2018. "Dynamic Asset Allocation with Default and Systemic Risks," International Series in Operations Research & Management Science, in: Giorgio Consigli & Silvana Stefani & Giovanni Zambruno (ed.), Handbook of Recent Advances in Commodity and Financial Modeling, chapter 0, pages 241-250, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-61320-8_11
    DOI: 10.1007/978-3-319-61320-8_11
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    Cited by:

    1. Nasini, Stefano & Labbé, Martine & Brotcorne, Luce, 2022. "Multi-market portfolio optimization with conditional value at risk," European Journal of Operational Research, Elsevier, vol. 300(1), pages 350-365.

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