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Document type:
Zeitschriftenaufsatz 
Author(s):
Menzinger, B.; Schlosser, A.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Asset Allocation with Credit Instruments 
Abstract:
This paper presents a consistent, scenario-based asset allocation framework for analyzing traditional financial instruments and credit instruments in a portfolio context. Our framework accounts for the distinct return characteristics of credit instruments by incorporating potential defaults into the total return calculation. We generate correlated default times with a Normal Inverse Gaussian one-factor copula. To determine optimal portfolios, we use a mean-variance and a conditional value at ris...    »
 
Intellectual Contribution:
Contribution to Practice 
Journal title:
working paper 
Year:
2009 
Pages contribution:
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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