DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (Q5416702): Difference between revisions
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Revision as of 02:01, 20 April 2024
scientific article; zbMATH DE number 6295264
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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