Optimal investment with a corporate bond

被引：2
|
作者：
Bian, Shibo [1 ]
Liu, Hailong [2 ]
机构：
[1] Shanghai Lixin Univ Commerce, Risk Management Res Inst, Shanghai, Peoples R China
[2] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China
来源：
MATHEMATICAL AND COMPUTER MODELLING | 2013年 / 58卷 / 9-10期
关键词：
Corporate bond; Reduced-form model; Optimal investment; Martingale methods; RISK MINIMIZATION; PORTFOLIO; CONSUMPTION;
D O I：
10.1016/j.mcm.2012.05.001
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
The present paper analyzes the optimal investment strategy in a corporate (defaultable) bond, a stock and a bank account in a continuous time model. We model the corporate bond price through a reduced-form approach and solve the dynamics of its price. The optimal investment process will be worked out first with a general risk-averse utility function, and then an optimal strategy with CARA utility will be presented using martingale methods. The optimal investment strategy is analyzed numerically for the CARA utility. (C) 2012 Elsevier Ltd. All rights reserved.
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页码：1615 / 1624
页数：10
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