Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27
This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a … such that a risk metric of an investment portfolio is minimized. By adopting a sub-additive convex risk measure, which … takes into account interest rate risk, as a measure for risk, the investment problem is discussed mathematically in a form …