Pages that link to "Item:Q4614935"
From MaRDI portal
The following pages link to Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching (Q4614935):
Displaying 12 items.
- The loss given default of a low-default portfolio with weak contagion (Q903339) (← links)
- Optimal portfolios with regime switching and value-at-risk constraint (Q976262) (← links)
- Risk-sensitive credit portfolio optimization under partial information and contagion risk (Q2083252) (← links)
- Portfolio problems stopping at first hitting time with application to default risk (Q2500790) (← links)
- Recursive risk measures under regime switching applied to portfolio selection (Q4555153) (← links)
- A decomposition method for optimal portfolios with regime-switching and risk constraint (Q4921211) (← links)
- Optimal dividend strategy for an insurance group with contagious default risk (Q5003355) (← links)
- Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk (Q5080491) (← links)
- On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models (Q5106718) (← links)
- Discrete‐time risk sensitive portfolio optimization with proportional transaction costs (Q6146693) (← links)
- Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach (Q6193111) (← links)
- Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk (Q6534590) (← links)
