Abstract
In his pioneering work Merton (1969, 1971) considered an investor who allocates wealth to stocks and to a riskless money market account. However, the assumption is made that the interest rates are deterministic and that all assets are free of default risk. Relaxing the first point has already been addressed in Chapter 2. The second point is rarely treated in literature.1
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© 2004 Springer-Verlag Berlin Heidelberg
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Kraft, H. (2004). Optimal Portfolios with Defaultable Assets — A Firm Value Approach. In: Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets. Lecture Notes in Economics and Mathematical Systems, vol 540. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-17041-6_5
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DOI: https://doi.org/10.1007/978-3-642-17041-6_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-21230-0
Online ISBN: 978-3-642-17041-6
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