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

default riskHJB equationportfolio optimizationstochastic factorsub-super solution

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)

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

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