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Property / author: Li Jun Bo / rank
 
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Property / author: Yong Jin Wang / rank
 
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Property / full work available at URL: https://doi.org/10.1007/s11464-012-0224-3 / rank
 
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Latest revision as of 08:10, 6 July 2024

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Optimal portfolio and consumption selection with default risk
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    Optimal portfolio and consumption selection with default risk (English)
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    10 April 2013
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    defaultable security
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    average past consumption
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    Hamilton-Jacobi-Bellman (HJB) equation
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    post(pre)-default
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    constrained viscosity solution
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