Asset allocation with contagion and explicit bankruptcy procedures

DOI10.1016/j.jmateco.2008.08.006zbMath1153.91533OpenAlexW2073087562MaRDI QIDQ999740

Holger Kraft, Mogens Steffensen

Publication date: 10 February 2009

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2008.08.006

zbMATH Keywords

defaultportfolio optimizationliquidationreorganizationfinite state Markov chain

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

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