Systemic Influences on Optimal Equity-Credit Investment
提出了一个考虑市场和信用风险结构性交互的股权-信用组合框架，推导出股票和信用违约互换的最优投资策略，并发现系统性依赖在历史数据中显著，对投资组合监控至关重要。
We introduce an equity-credit portfolio framework taking into account the structural interaction of market and credit risk, along with their systemic dependencies. We derive an explicit expression for the optimal investment strategy in stocks and credit default swaps (CDSs). We exploit its representation structure and analyze the mechanisms driving the optimal investment decisions. The transmission of market risk premia is the key mechanism through which systemic influences affect the optimal investment strategy. We develop a novel calibration procedure and find that systemic dependencies are statistically significant when the model is fitted to historical time series of equity and CDS data. An empirical analysis with data of companies in the Dow Jones Industrial Average 30 reveals the critical role of systemic risk in portfolio monitoring. This paper was accepted by Noah Gans, stochastic models and simulation.