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In standard static Mean-Variance approach portfolio is presented by one allocation vector optimized in terms of expected returns & variance-covariance (VcV) matrix. Such one-dimensional approach is not suitable for Fixed Income: i) portfolio cannot be described by allocation vector only, and ii)...
Persistent link: https://www.econbiz.de/10005706550
In this paper we study corporate debt values, capital structure, and the term structure of interest rates in a unified framework. We employ numerical techniques to compute the firm's optimal capital structure and the value of its long-term risky debt and yield spreads when the value of the...
Persistent link: https://www.econbiz.de/10005343061
Persistent link: https://www.econbiz.de/10005345650