Credit portfolio selection with decaying contagion intensities

DOI10.1111/mafi.12177zbMath1411.91485MaRDI QIDQ5743120

Agostino Capponi, Li Jun Bo, Peng-Chu Chen

Publication date: 8 May 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12177

zbMATH Keywords

dynamic programming; parabolic PDEs; decay of default intensities; fixed-income investment

Mathematics Subject Classification ID

49N35: Optimal feedback synthesis

90C39: Dynamic programming

91G50: Corporate finance (dividends, real options, etc.)

91G10: Portfolio theory

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences