Dynamic Portfolio Optimization with Looping Contagion Risk
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/17M1154424
Reference14 articles.
1. OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK
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4. Portfolio optimization in a defaultable market under incomplete information
5. DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME-SWITCHING
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