Optimal credit investment with borrowing costs

DOI10.1287/MOOR.2016.0818MaRDI QIDQ5739155zbMATH OpenOpenAlexFDO

Authors Agostino Capponi, Lijun 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

borrowing costscredit riskdynamic programming equationportfolio decisions

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Credit risk (91G40)

Recommendations

• An Optimal Investment/Consumption Model with Borrowing
• Optimal policies with a loss risk and a higher borrowing rate
• Optimal consumption/portfolio choice with borrowing rate higher than deposit rate
• Portfolio optimization of credit swap under funding costs
• OPTIMAL GROWTH IN CONTINUOUS-TIME WITH CREDIT RISK

Cited in

(12)

• Optimal project selection when borrowing and lending rates differ
• Optimal and admissible programs of credit control
• Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
• Portfolio optimization of credit swap under funding costs
• Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
• Safety-first principle for constraints of borrowing/lending and risky investment
• OPTIMAL CREDIT RATINGS
• Calculation of Investment Portfolios with Risk Free Borrowing and Lending
• OPTIMAL GROWTH IN CONTINUOUS-TIME WITH CREDIT RISK
• FINANCING AND INVESTMENT STRATEGIES UNDER CREDITOR-MAXIMIZED LIQUIDATION
• A risk-sharing framework of bilateral contracts
• Binary funding impacts in derivative valuation

This page was built for publication: Optimal credit investment with borrowing costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5739155)