An optimal portfolio problem in a defaultable market (Q3059692)
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scientific article; zbMATH DE number 5820049
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An optimal portfolio problem in a defaultable market |
scientific article; zbMATH DE number 5820049 |
Statements
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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0.8861566781997681
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0.8828410506248474
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0.8814871311187744
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0.876971423625946
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0.8408592343330383
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