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Risk-Sensitive Asset Management and Cascading Defaults - MaRDI portal

Risk-Sensitive Asset Management and Cascading Defaults (Q5219291)

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scientific article; zbMATH DE number 7179317
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English
Risk-Sensitive Asset Management and Cascading Defaults
scientific article; zbMATH DE number 7179317

    Statements

    title
    Risk-Sensitive Asset Management and Cascading Defaults (English)
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    author
    John R. Birge
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    Agostino Capponi
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    Li Jun Bo
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    publication date
    11 March 2020
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    zbMATH Keywords
    risk-sensitive
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    cascading defaults
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    super-sub solution
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    Hamilton-Jacobi-Bellman equation
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    cites work
    Q4086303
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    Q3755824
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    Q5562267
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    Q3108574
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    Q3997540
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    Identifiers

    zbMATH DE Number
    7179317
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    OpenAlex ID
    W3121984455
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