Risk sensitive portfolio optimization with default contagion and regime-switching (Q4614935)
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scientific article; zbMATH DE number 7010449
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| English | Risk sensitive portfolio optimization with default contagion and regime-switching |
scientific article; zbMATH DE number 7010449 |
Statements
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching (English)
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1 February 2019
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default contagion
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regime switching
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countably infinite states
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risk-sensitive control
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recursive dynamical programming equations
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verification theorems
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0.8784507513046265
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0.8387287855148315
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0.8256672620773315
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0.7952590584754944
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0.7950196862220764
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