Optimal investment and pricing in the presence of defaults-Reference-Cited by-同舟云学术

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Optimal investment and pricing in the presence of defaults

Published:2020-04 Issue:2 Volume:30 Page:577-620
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Ishikawa Tetsuya¹,Robertson Scott²

Affiliation:

1. Morgan Stanley New York

2. Questrom School of BusinessBoston UniversityBoston Massachusetts

Funder

National Science Foundation

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12219

Reference65 articles.

1. Optimal execution of portfolio transactions

2. Anthropelos M. Robertson S. &Spiliopolous K.(2018).Optimal investment and derivative demand under price impact. Working Paper.

3. Hedging and Portfolio Optimization in Financial Markets with a Large Trader

4. A model for a large investor trading at market indifference prices. I: Single-period case

5. A model for a large investor trading at market indifference prices. II: Continuous-time case

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1. Optimal Consumption and Portfolio Selection for Retirees Under Inflation and Pension Default Risk;2023

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