Optimal investment and consumption with default risk: HARA utility (Q370878): Difference between revisions

@@ Property / DOI @@
-.1007/s10690-013-9167-2
@@ Property / DOI: 10.1007/s10690-013-9167-2 / rank @@
-Normal rank
@@ Property / author @@
-Li Jun Bo
@@ Property / author: Li Jun Bo / rank @@
-Normal rank
@@ Property / author @@
-Yong Jin Wang
@@ Property / author: Yong Jin Wang / rank @@
-Normal rank
@@ Property / author @@
+Li Jun Bo
@@ Property / author: Li Jun Bo / rank @@
+Normal rank
@@ Property / author @@
+Yong Jin Wang
@@ Property / author: Yong Jin Wang / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6209846
@@ Property / zbMATH DE Number: 6209846 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal control
@@ Property / zbMATH Keywords: optimal control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolio optimization
@@ Property / zbMATH Keywords: portfolio optimization / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+perpetual bond
@@ Property / zbMATH Keywords: perpetual bond / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+defaultable market
@@ Property / zbMATH Keywords: defaultable market / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+HJB equation
@@ Property / zbMATH Keywords: HJB equation / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10690-013-9167-2
+Normal rank
@@ Property / OpenAlex ID @@
+W3126089764
@@ Property / OpenAlex ID: W3126089764 / rank @@
+Normal rank
@@ Property / cites work @@
+A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
@@ Property / cites work: A GENERAL FRAMEWORK FOR PRICING CREDIT RISK / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with a defaultable security
+Normal rank
@@ Property / cites work @@
+PDE approach to valuation and hedging of credit derivatives
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+An optimal portfolio problem in a defaultable market
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+An Application of Stochastic Control Theory to Financial Economics
+Normal rank
@@ Property / cites work @@
+Optimal investment in a defaultable bond
@@ Property / cites work: Optimal investment in a defaultable bond / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment under multiple defaults risk: a BSDE-decomposition approach
+Normal rank
@@ Property / cites work @@
+Optimal investment with counterparty risk: a default-density model approach
+Normal rank
@@ Property / cites work @@
+OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
+Normal rank
@@ Property / cites work @@
+Q4794152
@@ Property / cites work: Q4794152 / rank @@
+Normal rank
@@ Property / cites work @@
+STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
+Normal rank
@@ Property / cites work @@
+Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / DOI @@
+.1007/S10690-013-9167-2
@@ Property / DOI: 10.1007/S10690-013-9167-2 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:370878