Non‐myopic portfolio choice with unpredictable returns: The jump‐to‐default case
研究了当风险资产可能发生跳至违约事件时，即使收益不可预测，投资期限也会影响最优投资组合规则，并发现微小违约风险会导致长期保守投资者的最优组合随时间显著变化。
Abstract If a risky asset is subject to a jump‐to‐default event, the investment horizon affects the optimal portfolio rule, even if the asset returns are unpredictable. The optimal rule solves a non‐linear differential equation that, by not depending on the investor's pre‐default value function, allows for its direct computation. Importantly for financial planners offering portfolio advice for the long term, tiny amounts of constant jump‐to‐default risk induce marked time variation in the optimal portfolios of long‐run conservative investors. Our results are robust to the introduction of multiple non‐defaultable risky assets.