Optimal Portfolios Including Credit Bonds and Derivatives: A Latest Research Review

DOI

10.2991/aebmr.k.191217.012How to use a DOI?

Keywords

Structural model, Reduced-form model, Hybrid model, Optimal portfolio

Abstract

Referring to the relevant literatures and theories, this paper summarizes and combs many scholars' viewpoints related to optimal portfolios with credit bonds and derivatives. Due to the fact that asset pricing is the basis of asset portfolio, this paper expounds the pricing and optimal portfolio problems containing these credit products under structural, reduced-form and hybrid models respectively. Although the studies of structural and reduced-form models have been matured, there still exist many defects. Hybrid model that combines the advantages of the two models mentioned above will become increasingly prevalent in the future.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Li Ma
AU  - Bokai Zhang
AU  - Runchan Li
AU  - Yue Wang
PY  - 2019
DA  - 2019/12/20
TI  - Optimal Portfolios Including Credit Bonds and Derivatives: A Latest Research Review
BT  - Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019)
PB  - Atlantis Press
SP  - 72
EP  - 76
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.191217.012
DO  - 10.2991/aebmr.k.191217.012
ID  - Ma2019
ER  -