Robust Optimization of Credit Portfolios (Q2976139): Difference between revisions

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-Li Jun Bo
@@ Property / author: Li Jun Bo / rank @@
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+Li Jun Bo
@@ Property / author: Li Jun Bo / rank @@
+Normal rank
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+MaRDI publication profile
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+W2331372093
@@ Property / OpenAlex ID: W2331372093 / rank @@
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+.08169
@@ Property / arXiv ID: 1603.08169 / rank @@
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@@ 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
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+OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK
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+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
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+Dynamic credit investment in partially observed markets
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+Recursive multiple-priors.
@@ Property / cites work: Recursive multiple-priors. / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
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@@ Property / cites work @@
+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
+Normal rank
@@ Property / cites work @@
+Investment/Consumption Problem in Illiquid Markets with Regime-Switching
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Control with Stochastic Factor Dynamics
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@@ Property / cites work @@
+Robust control and model misspecification
@@ Property / cites work: Robust control and model misspecification / rank @@
+Normal rank
@@ Property / cites work @@
+INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
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@@ Property / cites work @@
+Optimal investment under multiple defaults risk: a BSDE-decomposition approach
+Normal rank
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+Portfolio problems stopping at first hitting time with application to default risk
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@@ Property / cites work @@
+Asset allocation with contagion and explicit bankruptcy procedures
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@@ Property / cites work @@
+Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
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@@ links / mardi / name / links / mardi / name @@
+Publication:2976139