Optimal investment and consumption with default risk: HARA utility
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Cites work
- A GENERAL FRAMEWORK FOR PRICING CREDIT RISK
- An Application of Stochastic Control Theory to Financial Economics
- An optimal portfolio problem in a defaultable market
- Credit risk: Modelling, valuation and hedging
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- Optimal investment and consumption with transaction costs
- Optimal investment in a defaultable bond
- Optimal investment under multiple defaults risk: a BSDE-decomposition approach
- Optimal investment with counterparty risk: a default-density model approach
- OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
- Optimum consumption and portfolio rules in a continuous-time model
- PDE approach to valuation and hedging of credit derivatives
- Portfolio optimization with a defaultable security
- Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
- STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
Cited in
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- The optimal investment, liability and dividends in insurance
- Optimal consumption and investment with insurer default risk
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Optimal investment strategies for the HARA utility under the constant elasticity of variance model
- A convergence of optimal investment strategies for the HARA utility functions
- An optimal portfolio problem in a defaultable market
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Optimal investment with stochastic interest rate and default risk
- Optimal consumption and investment with bounded downside risk for power utility functions
- Dynamic portfolio optimization with a defaultable security and regime-switching
- Optimal investment and consumption in the presence of default on a financial market by a Lévy noise
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
- Bi-revealed utilities in a defaultable universe: a new point of view on consumption
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