Reaching nirvana with a defaultable asset?

被引：8
作者：
Battauz A. [1 ]
De Donno M. [2 ]
Sbuelz A. [3 ]
机构：
[1] Department of Finance and IGIER, Bocconi University, Milan
[2] Department of Economics, University of Parma, Parma
[3] Department of Mathematical Sciences, Mathematical Finance and Econometrics, Catholic University of Milan, Largo Gemelli, 1, Milan
来源：
Decisions in Economics and Finance | 2017年 / 40卷 / 1-2期
关键词：
Convex duality; Duality-based optimal portfolio solutions; Dynamic asset allocation; Investment horizon; Leverage; Non-myopic speculation; Predictable default risk; Reaching for yield; Sharpe ratio risk;
D O I：
10.1007/s10203-017-0192-x
中图分类号：
学科分类号：
摘要：
We study the optimal dynamic portfolio exposure to predictable default risk, taking inspiration from the search for yield by means of defaultable assets observed before the 2007–2008 crisis and in its aftermath. Under no arbitrage, default risk is compensated by an ‘yield pickup’ that can strongly attract aggressive investors via an investment-horizon effect in their optimal non-myopic portfolios. We show it by stating the optimal dynamic portfolio problem of Kim and Omberg (Rev Financ Stud 9:141–161, 1996) for a defaultable risky asset and by rigorously proving the existence of nirvana-type solutions. We achieve such a contribution to the portfolio optimization literature by means of a careful, closed-form-yielding adaptation to our defaultable asset setting of the general convex duality approach of Kramkov and Schachermayer (Ann Appl Probab 9(3):904–950, 1999; Ann Appl Probab 13(4):1504–1516, 2003). © 2017, Springer-Verlag Italia.
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页码：31 / 52
页数：21
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