Optimal investment risks and debt management with backup security in a financial crisis

DOI10.1016/J.CAM.2018.01.032MaRDI QIDQ1743950zbMATH OpenOpenAlexFDO

Authors C. I. Nkeki

Publication date 16 April 2018

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2018.01.032

zbMATH Keywords

optimal investmentfinancial crisiscollateral securitydiffusion and credit risksnet debt ratioreal wealth

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 7696270 (Why is no real title available?)
• scientific article; zbMATH DE number 7696320 (Why is no real title available?)
• An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
• Mean-variance portfolio selection problem with time-dependent salary for defined contribution pension scheme
• Mean-variance portfolio selection with inflation hedging strategy: a case of a defined contributory pension scheme
• Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
• Optimal pension management in a stochastic framework.
• Pension funds with a minimum guarantee: a stochastic control approach

Cited in

(4)

• FINANCING AND INVESTMENT STRATEGIES UNDER CREDITOR-MAXIMIZED LIQUIDATION
• Optimal debt ratio and consumption strategies in financial crisis
• Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models
• Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models

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