A portfolio optimization problem with a corporate bond

MaRDI QIDQ5412980zbMATH OpenFDO

Authors Bogdan Iftimie

Publication date 28 April 2014

zbMATH Keywords

defaultable bonddynamic programmingHARA utilitymartingale dualityportfolio optimizationrecovery of market value

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)

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