相关违约对公司债券投资组合配置的影响
Implications of Correlated Default For Portfolio Allocation To Corporate Bonds
摘要：
本文研究了在存在相关违约的情况下，固定收益投资组合中公司债券的最优资本配置问题。使用多元正态Copula函数的联合违约概率，我们表明，保留的前几个时刻的投资组合违约损失分布提供了一个非常好的近似的资产配置问题的完整解决方案。我们提供了详细的结果收敛的时刻扩展，并探讨如何最佳的投资组合分配取决于回收分数，多元化水平和投资时间范围。大量的数字插图展示了简单的投资组合和效用函数的结果。
英文摘要：
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Using a multivariate normal Copula function for the joint default probabilities we show that retaining the first few moments of the portfolio default loss distribution gives an extremely good approximation to the full solution of the asset allocation problem. We provide detailed results on the convergence of the moment expansion and explore how the optimal portfolio allocation depends on recovery fractions, level of diversification and investment time horizon. Numerous numerical illustrations exhibit the results for simple portfolios and utility functions.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
