Optimal portfolio and consumption selection with default risk
Author:
Publisher
Springer Science and Business Media LLC
Subject
Mathematics (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11464-012-0224-3.pdf
Reference30 articles.
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4. Biagini F, Cretarola A. Quadratic hedging methods for defaultable claims. Appl Math Optim, 2007, 56(3): 425–443
5. Biagini F, Cretarola A. Local risk-minimization for defaultable claims with recovery process. Appl Math Optim, 2012, 65(3): 293–314
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1. The Optimal Investment, Liability and Dividends in Insurance;Journal of the Operations Research Society of China;2020-04-08
2. Portfolio selection with transaction costs and default risk;Managerial Finance;2017-02-13
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