Risk-Sensitive Asset Management and Cascading Defaults-Reference-Cited by-同舟云学术

Risk-Sensitive Asset Management and Cascading Defaults

Published:2018-02 Issue:1 Volume:43 Page:1-28
ISSN:0364-765X
Container-title:Mathematics of Operations Research
language:en
Short-container-title:Mathematics of OR

Author:

Birge John R.¹,Bo Lijun²,Capponi Agostino³^ORCID

Affiliation:

1. Booth School of Business, University of Chicago, Chicago, Illinois 60637

2. School of Mathematical Sciences, University of Science and Technology of China, Hefei, Anhui Province, 230026, China; and Wu Wen Tsun Key Laboratory of Mathematics, Chinese Academy of Science, Hefei, Anhui Province 230026, China

3. Department of Industrial Engineering and Operations Research, Columbia University, New York, New York 10027

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Reference38 articles.

1. A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities

2. Bakshi N, Mohan S (2015) Mitigating disruption cascades in supply networks. Working paper, London Business School, London.

3. Risk Sensitive Control of the Lifetime Ruin Problem

4. A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

5. Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

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