Optimal portfolio and consumption selection with default risk (Q1946970)
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scientific article; zbMATH DE number 6152741
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio and consumption selection with default risk |
scientific article; zbMATH DE number 6152741 |
Statements
Optimal portfolio and consumption selection with default risk (English)
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10 April 2013
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defaultable security
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average past consumption
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Hamilton-Jacobi-Bellman (HJB) equation
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post(pre)-default
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constrained viscosity solution
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