Portfolio optimization in a defaultable Lévy-driven market model
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Publication:2516636
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Cites work
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
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Cited in
(12)- Value functions in a regime switching jump diffusion with delay market model
- Optimal investment and consumption in the presence of default on a financial market by a Lévy noise
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Stability of Merton's portfolio optimization problem for Lévy models
- An optimization model for a portfolio of financial derived instruments with pledge limitations
- Financial optimization: optimization paradigms and financial planning under uncertainty
- Dynamic portfolio optimization with a defaultable security and regime-switching
- An optimal portfolio problem in a defaultable market
- Portfolio optimization in a defaultable market under incomplete information
- Risk minimization in financial markets modeled by Itô-Lévy processes
- 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
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