Bond portfolio optimization with long-range dependent credits
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Publication:6175328
DOI10.3934/jimo.2022253zbMath1524.49071OpenAlexW4313011462MaRDI QIDQ6175328
Publication date: 21 July 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022253
Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40) Risk models (general) (91B05)
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