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Portfolio optimization in a defaultable Lévy-driven market model - MaRDI portal

Portfolio optimization in a defaultable Lévy-driven market model (Q2516636)

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Portfolio optimization in a defaultable Lévy-driven market model
scientific article

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    title
    Portfolio optimization in a defaultable Lévy-driven market model (English)
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    author
    Stefano Pagliarani
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    Tiziano Vargiolu
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    published in
    OR Spectrum
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    publication date
    3 August 2015
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    zbMATH DE Number
    6469387
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    zbMATH Keywords
    utility maximization
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    defaultable assets
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    regime-switching models
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    Hamilton-Jacobi-Bellman equation
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    logarithmic utility
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    OpenAlex ID
    W2130529165
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    cites work
    Q4435813
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