Partial information about contagion risk, self-exciting processes and portfolio optimization
From MaRDI portal
Publication:1994368
DOI10.1016/j.jedc.2013.10.005zbMath1402.91667MaRDI QIDQ1994368
Holger Kraft, Nicole Branger, Christoph Meinerding
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/88730
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G10: Portfolio theory
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