OPTIMAL GROWTH IN CONTINUOUS-TIME WITH CREDIT RISK

DOI10.1017/S0269964899132017zbMath1002.91035MaRDI QIDQ4955525

Sid Browne

Publication date: 1999

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

zbMATH Keywords

optimal growthcredit riskoptimal investmentallocation problem

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (2)

Optimal reinsurance: minimize the expected time to reach a goal ⋮ Optimal reinsurance with a rescuing procedure

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