Optimal Portfolios with Defaultable Securities

Download or read book Optimal Portfolios with Defaultable Securities written by Ralf Korn and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is an important issue of current research in finance. While there is a lot of work on modelling credit risk and on valuing credit derivatives there is no work on continuous-time portfolio optimization with defaultable securities. Therefore, in this paper we solve investment problems with defaultable bonds and stocks. Besides, our approach can be applied to portfolio problems, where the investor has the opportunity to put her wealth into derivatives with counterparty risk or credit derivatives.