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Q5412980 - MaRDI portal

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scientific article; zbMATH DE number 6289660
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English
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scientific article; zbMATH DE number 6289660

    Statements

    author
    Bogdan Iftimie
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    publication date
    28 April 2014
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    zbMATH Keywords
    portfolio optimization
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    HARA utility
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    defaultable bond
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    recovery of market value
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    martingale duality
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    dynamic programming
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    49N90
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    91G50
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    93E20
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    zbMATH DE Number
    6289660
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