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Title:

Asset Allocation with Credit Instruments

Document type:
Zeitschriftenaufsatz
Author(s):
Menzinger, B.; Schlosser, A.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
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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