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- Title
Portfólióallokáció csődveszély esetén, korlátolt felelősség mellett.
- Authors
ZSOLT, BIHARY; ANDRÁS, VÍG ATTILA
- Abstract
The model concerns dynamic portfolio optimization. Risky assets follow a jump-diffusion process with negative jumps, while the non-risky assets take the form of a deterministic bank deposit. Optimization is restricted in the literature to strategies where the value of the portfolio cannot become negative. This paper departs from this tradition in allowing for strategies that may lead to default. The investor in the model used here assumes limited liability, so that in case of default, not only his entire wealth is lost, but the creditor also suffers a loss. To compensate, the creditor demands a risk premium, which is treated here endogenously. If the risk aversion parameter is sufficiently low, the inclusion of limited liability explains the existence of strategies with high leverage. Realistic examples of where these are optimal are given. With large jumps, optimal leverage depends discontinuously on the model parameters.
- Publication
Economic Review / Kozgazdasagi Szemle, 2018, Vol 65, p711
- ISSN
0023-4346
- Publication type
Article
- DOI
10.18414/KSZ.2018.7-8.711