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Dynamic Portfolio Optimization with Looping Contagion Risk - MaRDI portal

Dynamic Portfolio Optimization with Looping Contagion Risk (Q5742492)

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scientific article; zbMATH DE number 7054535
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English
Dynamic Portfolio Optimization with Looping Contagion Risk
scientific article; zbMATH DE number 7054535

    Statements

    title
    Dynamic Portfolio Optimization with Looping Contagion Risk (English)
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    author
    Longjie Jia
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    Martijn R. Pistorius
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    Harry Zheng
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    publication date
    14 May 2019
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    zbMATH Keywords
    dynamic portfolio optimization
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    looping contagion risk
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    HJB equation
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    viscosity solution
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    robust tests
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    statistical comparisons
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    Identifiers

    DOI
    10.1137/17M1154424
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    35Q91
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    49L25
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    zbMATH DE Number
    7054535
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    arXiv ID
    1710.05168
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    Wikidata QID
    Q128565566
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