An optimal portfolio problem in a defaultable market (Q3059692)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal portfolio problem in a defaultable market |
scientific article |
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An optimal portfolio problem in a defaultable market (English)
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26 November 2010
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portfolio optimization
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defaultable security
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stochastic factor
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Hamilton-Jacobi-Bellman equation
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sub/super-solution
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