Robust Optimization of Credit Portfolios

DOI10.1287/moor.2016.0790zbMath1360.91147arXiv1603.08169MaRDI QIDQ2976139

Agostino Capponi, Li Jun Bo

Publication date: 13 April 2017

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.08169

zbMATH Keywords

robust control; credit risk; HJB equations; recursive system

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G10: Portfolio theory

91G40: Credit risk

Related Items

Portfolio Choice with Market--Credit-Risk Dependencies, Credit portfolio selection with decaying contagion intensities, Recent advancements in robust optimization for investment management

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