Stochastic portfolio optimization with default risk (Q1759911)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic portfolio optimization with default risk |
scientific article |
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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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