Asset allocation with contagion and explicit bankruptcy procedures (Q999740): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.jmateco.2008.08.006 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2073087562 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Interest Rates and the Bond-Stock Mix / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strategic asset allocation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and arbitrage in multiperiod securities markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bankruptcy, Counterparty Risk, and Contagion* / rank
 
Normal rank
Property / cites work
 
Property / cites work: How to invest optimally in corporate bonds: a reduced-form approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Cox processes and credit risky securities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Markov Chain Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4435813 / rank
 
Normal rank
Property / cites work
 
Property / cites work: CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS / rank
 
Normal rank

Latest revision as of 01:55, 29 June 2024

scientific article
Language Label Description Also known as
English
Asset allocation with contagion and explicit bankruptcy procedures
scientific article

    Statements

    Asset allocation with contagion and explicit bankruptcy procedures (English)
    0 references
    0 references
    0 references
    10 February 2009
    0 references
    portfolio optimization
    0 references
    liquidation
    0 references
    reorganization
    0 references
    default
    0 references
    finite state Markov chain
    0 references

    Identifiers