Bielecki, Tomasz; Jang, Inwon - In: Asia-Pacific Financial Markets 13 (2006) 2, pp. 113-127
In this paper we derive a closed-form solution for a representative investor who optimally allocates her wealth among the following securities: a credit-risky asset, a default-free bank account, and a stock. Although the inclusion of a credit-related financial product in the portfolio selection...