Portfolio optimization in a defaultable Lévy-driven market model (Q2516636)
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scientific article; zbMATH DE number 6469387
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| English | Portfolio optimization in a defaultable Lévy-driven market model |
scientific article; zbMATH DE number 6469387 |
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Portfolio optimization in a defaultable Lévy-driven market model (English)
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3 August 2015
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utility maximization
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defaultable assets
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regime-switching models
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Hamilton-Jacobi-Bellman equation
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logarithmic utility
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0.8408592343330383
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0.8245313763618469
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0.8184658885002136
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0.8173445463180542
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0.8075690865516663
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