Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Implications of Correlated Default For Portfolio Allocation To Corporate
  Bonds   This article deals with the problem of optimal allocation of capital to
corporate bonds in fixed income portfolios when there is the possibility of
correlated defaults. Using a multivariate normal Copula function for the joint
default probabilities we show that retaining the first few moments of the
portfolio default loss distribution gives an extremely good approximation to
the full solution of the asset allocation problem. We provide detailed results
on the convergence of the moment expansion and explore how the optimal
portfolio allocation depends on recovery fractions, level of diversification
and investment time horizon. Numerous numerical illustrations exhibit the
results for simple portfolios and utility functions.

27
The categories of this paper are: comp-gas
2
The categories of this paper are: math
6
The categories of this paper are: astro-ph
10
The categories of this paper are: q-bio
35
The categories of this paper are: mtrl-th
28
The categories of this paper are: alg-geom
7
The categories of this paper are: hep-th
36
The categories of this paper are: cmp-lg
33
The categories of this paper are: plasm-ph
32
The categories of this paper are: atom-ph
4
The categories of this paper are: cond-mat
31
The categories of this paper are: ao-sci
13
The categories of this paper are: quant-ph
0
The categories of this paper are: hep-ph
5
The categories of this paper are: gr-qc
16
The categories of this paper are: stat