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Portfolio Choice with Market--Credit-Risk Dependencies - MaRDI portal

Portfolio Choice with Market--Credit-Risk Dependencies (Q4582831)

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scientific article; zbMATH DE number 6925076
Language Label Description Also known as
English
Portfolio Choice with Market--Credit-Risk Dependencies
scientific article; zbMATH DE number 6925076

    Statements

    title
    Portfolio Choice with Market--Credit-Risk Dependencies (English)
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    author
    Agostino Capponi
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    Li Jun Bo
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    publication date
    24 August 2018
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    zbMATH Keywords
    investment/consumption problem
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    stochastic factors
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    martingale method
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    credit risk
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    recursive system of PDEs
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    cites work
    Q2771117
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    Q4368791
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    Q3128639
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    Q5506195
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    Q4435813
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    Q3656701
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    Identifiers

    DOI
    10.1137/16M1084092
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    Mathematics Subject Classification ID
    91G10
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    91G40
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    60G44
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    35Q91
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    zbMATH DE Number
    6925076
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    arXiv ID
    1806.07175
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    OpenAlex ID
    W2809135529
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    Wikidata QID
    Q129354561
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