Stochastic portfolio optimization with default risk (Q1759911)

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scientific article
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Stochastic portfolio optimization with default risk
scientific article

    Statements

    title
    Stochastic portfolio optimization with default risk (English)
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    author
    Xuewei Yang
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    Li Jun Bo
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    Yong Jin Wang
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    publication date
    22 November 2012
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    zbMATH Keywords
    portfolio optimization
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    default risk
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    stochastic factor
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    HJB equation
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    sub-super solution
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G40
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    91B32
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    zbMATH DE Number
    6109973
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    OpenAlex ID
    W2011480464
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