Dynamic portfolio optimization with looping contagion risk (Q5742492)
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scientific article; zbMATH DE number 7054535
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Dynamic portfolio optimization with looping contagion risk |
scientific article; zbMATH DE number 7054535 |
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Dynamic Portfolio Optimization with Looping Contagion Risk (English)
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14 May 2019
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dynamic portfolio optimization
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looping contagion risk
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HJB equation
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viscosity solution
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robust tests
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statistical comparisons
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0.7999352216720581
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0.7944203019142151
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0.7924441695213318
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0.7807696461677551
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0.7794855237007141
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