Asset allocation with contagion and explicit bankruptcy procedures

DOI10.1016/j.jmateco.2008.08.006zbMath1153.91533MaRDI QIDQ999740

Holger Kraft, Mogens Steffensen

Publication date: 10 February 2009

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2008.08.006

zbMATH Keywords

default; portfolio optimization; liquidation; reorganization; finite state Markov chain

Mathematics Subject Classification ID

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)

91B32: Resource and cost allocation (including fair division, apportionment, etc.)

91G10: Portfolio theory

Related Items

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