A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes

DOI10.3934/jimo.2023017OpenAlexW4321380110MaRDI QIDQ6175370

Amira Abid, Fathi Abid

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.2023017

zbMATH Keywords

dynamic programmingBrownian motionstochastic optimal controlOrnstein-Uhlenbeck processcredit ratingCDSoptimal debt ratioKalman filter approachimplied dafault propabilityoptimal market-based corporate financial structurequadratic Hamilton-Jacobi-Bellman (HJB) equationrisky environment

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Credit risk (91G40)

Cites Work

• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• CVaR norm and applications in optimization
• Optimal debt ratio and dividend payment strategies with reinsurance
• Optimal debt ratio and consumption strategies in financial crisis
• Stability advances in robust portfolio optimization under parallelepiped uncertainty
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• On ruin probabilities with investments in a risky asset with a regime-switching price
• Optimal portfolio selection with life insurance under subjective survival belief and habit formation
• Stochastic Optimal Control and the U.S. Financial Debt Crisis
• On Feedback Control of Linear Stochastic Systems

This page was built for publication: A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes