Optimal Credit Investment with Borrowing Costs

Published Online:https://doi.org/10.1287/moor.2016.0818

References

  • Azizpour S, Giesecke K, Schwenkler G (2015) Exploring the sources of default clustering. Working paper, Stanford University, Stanford, CA.Google Scholar
  • Belanger A, Shreve S, Wong D (2004) A general framework for pricing credit risk. Math. Finance 14(3):317–350.CrossrefGoogle Scholar
  • Bichuch M, Capponi A, Sturm S (2016) Arbitrage-free XVA. Math. Finance. Forthcoming.Google Scholar
  • Bielecki T, Rutkowski M (2015) Valuation and hedging of contracts with funding costs and collateralization. SIAM J. Financial Math. 6(1):594–655.CrossrefGoogle Scholar
  • Bo L, Capponi A (2016) Optimal investment in credit derivatives portfolio under contagion risk. Math. Finance 26(4):785–834.CrossrefGoogle Scholar
  • Bo L, Wang Y, Yang X (2010) An optimal portfolio problem in a defaultable market. Adv. Appl. Probab. 42(3):689–705.CrossrefGoogle Scholar
  • Capponi A, Figueroa-López JE (2014) Dynamics portfolio optimization with a defaultable security and regime-switching. Math. Finance 24(2):207–249.CrossrefGoogle Scholar
  • Capponi A, Figueroa-López JE, Pascucci A (2015) Dynamic credit investment in partially observed markets. Finance Stochastics 19(4):891–939.CrossrefGoogle Scholar
  • Chow Y, Teicher H (1978) Probability Theory (Springer, New York).CrossrefGoogle Scholar
  • Crépey S (2015) Bilateral counterparty risk under funding constraints—Part I: Pricing. Math. Finance 25(1):1–22.CrossrefGoogle Scholar
  • Cvitanić J (2001) Theory of Portfolio Optimization in Markets with Frictions, Handbook of Mathematical Finance (Cambridge University Press, Cambridge, UK).CrossrefGoogle Scholar
  • Cvitanić J (2014) Email communication with the authors, January 8.Google Scholar
  • Cvitanić J, Karatzas I (1992) Convex duality in constrained portfolio optimization. Ann. Appl. Probab. 2(4):767–818.CrossrefGoogle Scholar
  • Cvitanić J, Karatzas I (1993) Hedging contingent claims with constrained portfolios. Ann. Appl. Probab. 3(3):652–681.CrossrefGoogle Scholar
  • Dai M, Zhang Q, Zhu QJ (2010) Trend following trading under a regime switching model. SIAM J. Financial Math. 1(1):780–810.CrossrefGoogle Scholar
  • Dai M, Yang Z, Zhang Q, Zhu QJ (2016) Optimal trend following trading rules. Math. Oper. Res. 41(2):626–642.LinkGoogle Scholar
  • El Karoui N, Peng S, Quenez M (1997) Backward stochastic differential equations in finance. Math. Finance 7(1):1–71.CrossrefGoogle Scholar
  • Fleming WH, Zariphopoulou T (1991) An optimal investment-consumption model with borrowing. Math. Oper. Res. 16(4):802–822.LinkGoogle Scholar
  • Giesecke K, Kim B, Kim J, Tsoukalas G (2014) Optimal credit swap portfolios. Management Sci. 60(9):2291–2307.LinkGoogle Scholar
  • Hu Y, Imkeller P, Muller M (2013) Utility maximization in incomplete markets. Ann. Probab. 15(3):1691–1712.CrossrefGoogle Scholar
  • Jarrow R, Yu F (2001) Counterparty risk and the pricing of defaultable securities. J. Finance 56(5):1765–1799.CrossrefGoogle Scholar
  • Jiao Y, Pham H (2011) Optimal investment with counterparty risk: A default density approach. Finance Stochastics 15(4):725–753.CrossrefGoogle Scholar
  • Korn R (1995) Contingent claim valuation in a market with different interest rates. Math. Meth. Oper. Res. 42(3):255–274.CrossrefGoogle Scholar
  • Kraft H, Steffensen M (2005) Portfolio problems stopping at first hitting time with application to defaut risk. Math. Methods Oper. Res. 63(1):123–150.CrossrefGoogle Scholar
  • Kumagai S (1980) An implicit function theorem: Comment. J. Optim. Theory Appl. 31(2):285–288.CrossrefGoogle Scholar
  • Mercurio F (2014) Differential rates, differential prices. Risk Magazine (January 8) 100–105.Google Scholar
  • Merton R (1971) Optimal consumption and portfolio rules in a continuous-time model. J. Econom. Theory 3(4):373–413.CrossrefGoogle Scholar
  • Nie T, Rutkowski M (2016) Fair bilateral prices under funding costs and exogenous collateralization. Math. Finance. Forthcoming.Google Scholar
  • Protter P (2004) Stochastic Integrations and Differential Equations, 2nd ed. (Springer, New York).Google Scholar
  • Rogers LCG, Williams D (2000) Diffusions, Markov Processes and Martingales, 2nd ed., Vol. 1 (Cambridge University Press, Cambridge, UK).Google Scholar
  • Van den Heuvel SJ (2002) Does bank capital matter for monetary transmission? Econom. Policy Rev., Federal Reserve Bank of New York 8(5):259–266.Google Scholar
  • Wise M, Bhansali V (2002) Portfolio allocation to corporate bonds with correlated defaults. J. Risk 5(1):39–58.CrossrefGoogle 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.