Portfolio optimization with insider's initial information and counterparty risk (Q486930)
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scientific article
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| English | Portfolio optimization with insider's initial information and counterparty risk |
scientific article |
Statements
Portfolio optimization with insider's initial information and counterparty risk (English)
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19 January 2015
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asymmetric information
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enlargement of filtrations
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counterparty risk
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optimal investment
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duality
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dynamic programming
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0.7982110381126404
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0.7946553826332092
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0.7883265018463135
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0.7733439803123474
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0.7719772458076477
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