Systemic Influences on Optimal Equity-Credit Investment

Published Online:https://doi.org/10.1287/mnsc.2016.2460

References

  • Anderson E, Hansen L, Sargent T (2000) Robustness, detection and the price of risk. Working paper, University of North Carolina at Chapel Hill, Chapel Hill.Google Scholar
  • Becherer D, Schweizer M (2005) Classic solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes. Ann. Appl. Probab. 15:1111–1144.CrossrefGoogle Scholar
  • Berndt A, Douglas R, Duffie D, Ferguson M, Schranz D (2005) Measuring default-risk premia from default swap rates and EDFs. Working paper, Graduate School of Business, Stanford University, Stanford, CA.Google Scholar
  • Bielecki T, Jeanblanc M, Rutkowski M (2008) Pricing and trading credit default swaps in a hazard process model. Ann. Appl. Probab. 18:2495–2529.CrossrefGoogle Scholar
  • Bielecki T, Crepey S, Jeanblanc M, Rutkowski M (2010) Convertible bonds in a defaultable diffusion model. Kohatsu-Higa A, Privault N, Sheu SJ, eds. Stochastic Analysis with Financial Applications (Birkhäuser Verlag, Basel, Switzerland), 255–298.Google Scholar
  • Bo L, Capponi A (2016) Optimal investment in credit derivatives portfolio under contagion risk. Math. Finance. 26:785–834.CrossrefGoogle Scholar
  • Brandt M (2010) Portfolio choice problems. Aït-Sahalia Y, Hansen L, eds. Handbook of Financial Econometrics, Vol. 1: Tools and Techniques (North Holland, Amsterdam), 269–336.CrossrefGoogle Scholar
  • Childs M (2013) Pimco said to wager $10 billion in default swaps: Credit markets. Bloomberg (November 8), http://www.bloomberg.com/news/2013-11-08/pimco-said-to-wager-10-billion-in-default-swaps-credit-markets.html.Google Scholar
  • Citigroup (2010) The liquidity crisis & its impact on the hedge fund industry. Report, Citigroup, New York. http://www.citibank.com/icg/global_markets/prime_finance/docs/CitiPerspectives_LiquiditySurvey_July2010.pdf.Google Scholar
  • Crosbie P, Bohn J (2003) Modeling default risk. Technical report, Moody’s KMV (Kealhofer, McQuown, and Vasicek), New York.Google Scholar
  • Cvitanić J (2001) Theory of portfolio optimization in markets with frictions. Handbook of Mathematical Finance (Cambridge University Press, Cambridge, UK).CrossrefGoogle Scholar
  • Driessen J, Maenhout P, Vilkov G (2013) Option-implied correlations and the price of correlation risk. Working paper, Tilburg University, Tilburg, Netherlands.CrossrefGoogle Scholar
  • Duffie D, Singleton K (2003) Credit Risk (Princeton University Press, Princeton, NJ).Google Scholar
  • Duffie D, Saita L, Wang K (2007) Multi-period corporate default prediction with stochastic covariates. J. Financial Econom. 83:635–665.CrossrefGoogle Scholar
  • Duffie D, Eckner A, Horel G, Saita L (2009) Frailty correlated default. J. Finance 64:2089–2123.CrossrefGoogle Scholar
  • Eisenberg L, Noe T (2001) Systemic risk in financial systems. Management Sci. 47:236–249.LinkGoogle Scholar
  • Giesecke K, Kim B, Kim J, Tsoukalas G (2014) Optimal credit swap portfolios. Management Sci. 60:2291–2307.LinkGoogle Scholar
  • Gordon M, Paradis G, Rorke C (1972) Experimental evidence on alternative portfolio decision rules. Amer. Econom. Rev. 62:107–118.Google Scholar
  • Hansen L, Sargent T, Turmuhambetova G, Williams N (2006) Robust control and model misspecification. J. Econom. Theory 128:45–90.CrossrefGoogle Scholar
  • ISDA (International Swaps and Derivatives Association) (2009) ISDA announces successful implementation of “Big Bang” CDS protocol; determinations committees and auction settlement changes take effect. News release, April 8, http://www.isda.org/press/press040809.html.Google Scholar
  • Jarrow R, Yu F (2001) Counterparty risk and the pricing of defaultable securities. J. Finance 56:1765–1799.CrossrefGoogle Scholar
  • Kraft H, Steffensen M (2009) Asset allocation with contagion and explicit bankruptcy procedures. J. Math. Econom. 20:147–167.CrossrefGoogle Scholar
  • Kunita H (1984) Stochastic differential equations and stochastic flows of diffeomorphism. École d'Été de Probabilités de Saint-Flour XII–1982, Lecture Notes in Mathematics 1097 (Springer), 143–303.CrossrefGoogle Scholar
  • Lando D (1998) On Cox processes and credit risky securities. Rev. Derivatives Res. 2:99–120.CrossrefGoogle Scholar
  • Linetsky V (2006) Pricing equity derivatives subject to bankruptcy. Math. Finance 16:255–282.CrossrefGoogle Scholar
  • Liu J (2007) Portfolio selection in stochastic environments. Rev. Financial Stud. 20:1–39.CrossrefGoogle Scholar
  • Mendoza-Arriaga R, Linetsky V (2016) Multivariate subordination of Markov processes with financial applications. Math. Finance. 26:699–747.CrossrefGoogle Scholar
  • Mendoza-Arriaga R, Carr P, Linetsky V (2010) Time changed Markov processes in credit-equity modeling. Math. Finance 20:527–569.CrossrefGoogle Scholar
  • Merton R (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. Rev. Econom. Statist. 51:247–257.CrossrefGoogle Scholar
  • Perold A (1984) Large-scale portfolio optimization. Management Sci. 30:1143–1160.LinkGoogle Scholar
  • Protter P (2005) Stochastic integration and differential equations. Second ed., Stochastic Modelling and Applied Probability, Vol. 21 (Springer, New York).CrossrefGoogle Scholar
  • Vassalou M, Xing Y (2002) Default risk in equity returns. J. Finance 59:831–868.CrossrefGoogle Scholar
  • Wise MB, Bhansali V (2002) Portfolio allocation to corporate bonds with correlated defaults. J. Risk 5:39–58.CrossrefGoogle Scholar
  • Yu F (2005) Default correlation in reduced-form models. J. Investment Management 3:33–42.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.