Credit portfolio selection with decaying contagion intensities

DOI10.1111/mafi.12177zbMath1411.91485OpenAlexW2790412277MaRDI QIDQ5743120

Peng-Chu Chen, Agostino Capponi, Li Jun Bo

Publication date: 8 May 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12177

zbMATH Keywords

dynamic programmingparabolic PDEsdecay of default intensitiesfixed-income investment

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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