Stochastic portfolio optimization with default risk

DOI10.1016/J.JMAA.2012.07.058MaRDI QIDQ1759911zbMATH OpenOpenAlexFDO

Authors Xuewei Yang, Lijun Bo, Yongjin Wang

Publication date 22 November 2012

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2012.07.058

zbMATH Keywords

HJB equationportfolio optimizationdefault risksub-super solutionstochastic factor

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10) Credit risk (91G40)

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Cited in

(25)

• Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
• Optimal reinsurance and investment problem for an insurer with counterparty risk
• Optimal investment and risk control problems with delay for an insurer in defaultable market
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• Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
• Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
• The optimal investment, liability and dividends in insurance
• Optimal investment and consumption strategies for an investor with stochastic economic factor in a defaultable market
• Portfolio optimization with disutility-based risk measure
• Optimal reinsurance and investment problem in a defaultable market
• A closed-form GARCH valuation model for power exchange options with counterparty risk
• Optimal investment and consumption with default risk: HARA utility
• Portfolio problems stopping at first hitting time with application to default risk
• Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
• A generic framework for stochastic loss-given-default
• Asset proportions in optimal portfolios with dependent default risks
• Non-zero-sum stochastic differential reinsurance and investment games with default risk
• Portfolio optimization under credit risk
• Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
• Portfolio choices and VaR constraint with a defaultable asset
• Optimal portfolio problems for an insurance company under default risk and model uncertainty
• Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
• Optimal investment with stochastic interest rate and default risk
• Chance-constrained optimization for pension fund portfolios in the presence of default risk
• Optimal portfolio and consumption selection with default risk

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