Optimal investment risks and debt management with backup security in a financial crisis

DOI10.1016/J.CAM.2018.01.032zbMath1408.91201OpenAlexW2792012609MaRDI QIDQ1743950

Charles I. Nkeki

Publication date: 16 April 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.01.032

zbMATH Keywords

financial crisisoptimal investmentcollateral securitydiffusion and credit risksnet debt ratioreal wealth

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (1)

Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models

Cites Work

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• Pension funds with a minimum guarantee: a stochastic control approach
• Optimal pension management in a stochastic framework.
• Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
• An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs

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