英文标题：
《Portfolio Choice with Market-Credit Risk Dependencies》
---
作者：
Lijun Bo and Agostino Capponi
---
最新提交年份：
2018
---
英文摘要：
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale approach and analyze the recursive system of nonlinear Hamilton-Jacobi-Bellman equations associated with the dual problem. We transform such a system into an equivalent system of semi-linear PDEs, for which we establish existence and uniqueness of a bounded global classical solution. We obtain explicit representations for the optimal strategy, consumption path and wealth process, in terms of the solution to the recursive system of semi-linear PDEs. We numerically analyze the sensitivity of the optimal investment strategies to risk aversion, default risk and volatility.
---
中文摘要：
我们研究了一个捕获市场和信用风险依赖关系的模型中的最优投资/消费问题。随机因素驱动投资组合中股票的违约强度和波动性。我们使用鞅方法分析了与对偶问题相关的非线性Hamilton-Jacobi-Bellman方程的递推系统。我们将这样一个系统转化为一个半线性偏微分方程的等价系统，并建立了该系统有界全局经典解的存在唯一性。通过求解半线性偏微分方程递归系统，我们得到了最优策略、消费路径和财富过程的显式表示。我们数值分析了最优投资策略对风险规避、违约风险和波动率的敏感性。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->