Partial information about contagion risk, self-exciting processes and portfolio optimization
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Publication:1994368
DOI10.1016/j.jedc.2013.10.005zbMath1402.91667OpenAlexW3125960130MaRDI 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
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (4)
Vasicek model with mixed-exponential jumps and its applications in finance and insurance ⋮ Household lifetime strategies under a self-contagious market ⋮ A switching microstructure model for stock prices ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk
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