Dynamic portfolio optimization with a defaultable security and regime-switching (Q5416702)
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scientific article; zbMATH DE number 6295264
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| default for all languages | No label defined |
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| English | Dynamic portfolio optimization with a defaultable security and regime-switching |
scientific article; zbMATH DE number 6295264 |
Statements
DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (English)
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14 May 2014
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dynamic portfolio optimization
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credit risk
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regime-switching models
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utility maximization
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Hamilton-Jacobi-Bellman equations
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0.876971423625946
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0.8294488787651062
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0.8256672620773315
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0.8202434778213501
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0.8184658885002136
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