DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
From MaRDI portal
Publication:5416702
DOI10.1111/j.1467-9965.2012.00522.xzbMath1293.91170arXiv1105.0042OpenAlexW2143962393MaRDI QIDQ5416702
Agostino Capponi, José E. Figueroa-López
Publication date: 14 May 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.0042
Hamilton-Jacobi-Bellman equationscredit riskutility maximizationregime-switching modelsdynamic portfolio optimization
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