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

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+A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
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+Normal rank
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+Portfolio optimization with a defaultable security
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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.
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+Normal rank
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+Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
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+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
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+Investment/Consumption Problem in Illiquid Markets with Regime-Switching
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+Maxmin expected utility with non-unique prior
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+Normal rank
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+Robust Portfolio Control with Stochastic Factor Dynamics
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+Robust control and model misspecification
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+INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
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+Optimal investment under multiple defaults risk: a BSDE-decomposition approach
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+Portfolio problems stopping at first hitting time with application to default risk
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+Asset allocation with contagion and explicit bankruptcy procedures
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+Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
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