Portfolio optimization in a defaultable Lévy-driven market model

DOI10.1007/S00291-014-0374-7zbMATH Open1318.91186OpenAlexW2130529165MaRDI QIDQ2516636FDOQ2516636

Authors: Stefano Pagliarani, Tiziano Vargiolu 

Publication date: 3 August 2015

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-014-0374-7

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• An optimal portfolio problem in a defaultable market
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• Optimal portfolios for exponential Lévy processes.

zbMATH Keywords

Hamilton-Jacobi-Bellman equationutility maximizationlogarithmic utilityregime-switching modelsdefaultable assets

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Portfolio optimization in a defaultable market under incomplete information
• A Discrete Time Benchmark Approach for Insurance and Finance
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Cited In (12)

• An optimization model for a portfolio of financial derived instruments with pledge limitations
• Dynamic portfolio optimization with a defaultable security and regime-switching
• Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
• Optimal portfolios in Lévy markets under state-dependent bounded utility functions
• An optimal portfolio problem in a defaultable market
• Stability of Merton's portfolio optimization problem for Lévy models
• Risk minimization in financial markets modeled by Itô-Lévy processes
• Financial optimization: optimization paradigms and financial planning under uncertainty
• Value functions in a regime switching jump diffusion with delay market model
• Portfolio optimization in a defaultable market under incomplete information
• Optimal portfolio for an insider in a market driven by Lévy processes§
• Optimal investment and consumption in the presence of default on a financial market by a Lévy noise

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