DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (Q5416702): Difference between revisions

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Latest revision as of 13:03, 8 July 2024

scientific article; zbMATH DE number 6295264
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English
DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
scientific article; zbMATH DE number 6295264

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    DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (English)
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    14 May 2014
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    dynamic portfolio optimization
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    credit risk
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    regime-switching models
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    utility maximization
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    Hamilton-Jacobi-Bellman equations
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