A portfolio optimization problem with a corporate bond

zbMATH Open1357.91040MaRDI QIDQ5412980FDOQ5412980

Authors: Bogdan Iftimie 

Publication date: 28 April 2014

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zbMATH Keywords

dynamic programmingportfolio optimizationHARA utilitydefaultable bondrecovery of market valuemartingale duality

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20)

Cited In (6)

• Equity-linked notes portfolio optimization
• Portfolio optimization with a defaultable security
• Dynamic portfolio optimization with a defaultable security and regime-switching
• How to invest optimally in corporate bonds: a reduced-form approach
• How to find a bond portfolio with the highest convexity in a class of fixed duration portfolios
• Optimal investment in a defaultable bond

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