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

This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with sto

In this paper, we consider a portfolio optimization problem in a defaultable market. The representative investor dynamically allocates his or her wealth among t

The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodolo