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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Menzinger, B.; Schlosser, A.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
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 
Zeitschriftentitel:
working paper 
Jahr:
2009 
Seitenangaben Beitrag:
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Versionen