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PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION - MaRDI portal

PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION (Q5358060)

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scientific article; zbMATH DE number 6776141
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English
PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION
scientific article; zbMATH DE number 6776141

    Statements

    title
    PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION (English)
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    author
    Thomas Lim
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    Marie-Claire Quenez
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    publication date
    19 September 2017
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    zbMATH Keywords
    portfolio optimization
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    full/partial information
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    logarithmic, power and exponential utility functions
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    stochastic control
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    cites work
    Q3915688
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    Q4002114
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    Q4114574
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    Q3996259
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60H10
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    93E20
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    91B16
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    zbMATH DE Number
    6776141
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    arXiv ID
    1003.6002
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    OpenAlex ID
    W3125817545
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