Portfolio optimization in a defaultable market under incomplete information

DOI10.1007/S10203-011-0116-0MaRDI QIDQ1938900zbMATH OpenOpenAlexFDO

Authors Giorgia Callegaro, Wolfgang J. Runggaldier, Monique Jeanblanc

Publication date 25 February 2013

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-011-0116-0

zbMATH Keywords

dynamic programmingpartial informationportfolio optimizationcredit riskrobust solutions

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Credit risk (91G40) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 49106 (Why is no real title available?)
• Dynamic programming and stochastic control

Cited in

(13)

• Portfolio optimization in a defaultable Lévy-driven market model
• Dynamic portfolio optimization with looping contagion risk
• Optimal investment in credit derivatives portfolio under contagion risk
• Risk-sensitive credit portfolio optimization under partial information and contagion risk
• Partially informed investors: hedging in an incomplete market with default
• Portfolio Choice with Market--Credit-Risk Dependencies
• Information and optimal investment in defaultable assets
• Portfolio optimization in a default model under full/partial information
• Dynamic portfolio optimization with a defaultable security and regime-switching
• scientific article; zbMATH DE number 2174800 (Why is no real title available?)
• Optional projection under equivalent local martingale measures
• Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
• Risk sensitive portfolio optimization with default contagion and regime-switching

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