Bond portfolio optimization with long-range dependent credits
Consider the optimal allocation between money market account and corporate bond fund.
While the money market account is free of credit risk, corporate bonds are defaultable and
exhibit long-range dependence (LRD) in credit risk. We propose a Volterra default intensity
model to capture the LRD in credit risk. Using utility maximization, we derive the novel
optimal investment strategy for a corporate bond fund. As empirical study shows that the
COVID-19 pandemic has lowered the level of LRD in credit risk, we conduct sensitivity …
While the money market account is free of credit risk, corporate bonds are defaultable and
exhibit long-range dependence (LRD) in credit risk. We propose a Volterra default intensity
model to capture the LRD in credit risk. Using utility maximization, we derive the novel
optimal investment strategy for a corporate bond fund. As empirical study shows that the
COVID-19 pandemic has lowered the level of LRD in credit risk, we conduct sensitivity …
以上显示的是最相近的搜索结果。 查看全部搜索结果