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Title:

Portfolio optimization in a multidimensional structural-default model with a focus on private equity

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Hieber, P.; Scherer, M.; Seco, L.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
For risky investments, like private equity or hedge funds, default risk plays a prominent role. However, the accordant literature on portfolio optimization mostly disregards default risk and accordingly skewed return distributions. This paper presents a realistic and tractable framework for a portfolio optimization including default risk. Default is modeled by means of a Merton- or Black-Cox-type structural model. On a portfolio level, the mean and covariance of the resulting return distribution...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Journal of Private Equity
Year:
2011
Journal volume:
15
Journal issue:
1
Pages contribution:
26–35
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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