Bo, Lijun; Li, Xindan; Wang, Yongjin; Yang, Xuewei - In: Asia-Pacific Financial Markets 20 (2013) 3, pp. 261-281
In this paper, we consider a portfolio optimization problem in a defaultable market. The representative investor dynamically allocates his or her wealth among the following securities: a perpetual defaultable bond, a money market account and a default-free risky asset. The optimal investment and...