DOI10.1287/moor.2016.0818zbMath1414.91332MaRDI QIDQ5739155
Agostino Capponi, Li Jun Bo
Publication date: 2 June 2017 Published in: Mathematics of Operations Research (Search for Journal in Brave) Full work available at URL: https://doi.org/10.1287/moor.2016.0818
zbMATH Keywords
credit risk; dynamic programming equation; portfolio decisions; borrowing costs
Mathematics Subject Classification ID
90C39: Dynamic programming
91G10: Portfolio theory
91G40: Credit risk