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

DOI10.1016/J.CAM.2018.01.032zbMATH Open1408.91201OpenAlexW2792012609MaRDI QIDQ1743950FDOQ1743950

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

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zbMATH Keywords

optimal investmentfinancial crisiscollateral securitydiffusion and credit risksnet debt ratioreal wealth

Mathematics Subject Classification ID

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

Cites Work

• Optimal pension management in a stochastic framework.
• Pension funds with a minimum guarantee: a stochastic control approach
• 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
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (4)

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

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