An optimal portfolio problem in a defaultable market
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Cites work
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Cited in
(38)- Portfolio optimization under credit risk
- Dynamic investment and counterparty risk
- Stochastic portfolio optimization with default risk
- Portfolio optimization in a defaultable market under incomplete information
- Optimal portfolio and consumption selection with default risk
- The optimal investment, liability and dividends in insurance
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- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
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- Optimal investment under information driven contagious distress
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