Stochastic portfolio optimization with default risk (Q1759911)
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scientific article; zbMATH DE number 6109973
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Stochastic portfolio optimization with default risk |
scientific article; zbMATH DE number 6109973 |
Statements
Stochastic portfolio optimization with default risk (English)
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22 November 2012
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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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0.8828410506248474
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0.8587764501571655
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0.8562987446784973
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0.8242732286453247
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0.8116739392280579
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