Portfolio optimization in a defaultable market under incomplete information

DOI10.1007/s10203-011-0116-0zbMath1257.91039OpenAlexW2008230017MaRDI QIDQ1938900

Giorgia Callegaro, Wolfgang J. Runggaldier, Monique Jeanblanc-Picqué

Publication date: 25 February 2013

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-011-0116-0

zbMATH Keywords

dynamic programmingportfolio optimizationcredit riskpartial informationrobust solutions

Mathematics Subject Classification ID

Dynamic programming (90C39) Financial applications of other theories (91G80) Portfolio theory (91G10) Credit risk (91G40)

Related Items (8)

Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets ⋮ Portfolio Choice with Market--Credit-Risk Dependencies ⋮ Optional projection under equivalent local martingale measures ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING ⋮ Dynamic Portfolio Optimization with Looping Contagion Risk ⋮ Portfolio optimization in a defaultable Lévy-driven market model ⋮ OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK

Cites Work

• Dynamic programming and stochastic control
• Unnamed Item

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