Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching (Q4614935)
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scientific article; zbMATH DE number 7010449
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching |
scientific article; zbMATH DE number 7010449 |
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Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching (English)
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1 February 2019
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default contagion
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regime switching
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countably infinite states
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risk-sensitive control
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recursive dynamical programming equations
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verification theorems
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