Portfolio optimization in a defaultable Lévy-driven market model (Q2516636)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization in a defaultable Lévy-driven market model |
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Portfolio optimization in a defaultable Lévy-driven market model (English)
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3 August 2015
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utility maximization
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defaultable assets
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regime-switching models
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Hamilton-Jacobi-Bellman equation
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logarithmic utility
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