How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach
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- Morten Mosegaard Christensen & Eckhard Platen, 2007.
"Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1339-1364.
- Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
Keywordsportfolio optimization; stochastic interest rates; default risk; recovery risk; beta distribution;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-03 (All new papers)
- NEP-FIN-2005-07-03 (Finance)
- NEP-RMG-2005-07-03 (Risk Management)
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