Portfolio optimization in a defaultable Lévy-driven market model
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Publication:2516636
DOI10.1007/s00291-014-0374-7zbMath1318.91186OpenAlexW2130529165MaRDI QIDQ2516636
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
Hamilton-Jacobi-Bellman equationutility maximizationregime-switching modelslogarithmic utilitydefaultable assets
Related Items
Value functions in a regime switching jump diffusion with delay market model, Financial optimization: optimization paradigms and financial planning under uncertainty
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