Risk-sensitive credit portfolio optimization under partial information and contagion risk

DOI10.1214/21-AAP1735zbMath1499.60179arXiv1905.08004OpenAlexW4293483905MaRDI QIDQ2083252

Yanyan Li

Publication date: 10 October 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.08004

zbMATH Keywords

risk-sensitive controlpartial observationsuniqueness of the solutionmartingale representation theoremdefault contagionBSDE with jumps

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Credit risk (91G40)

Cites Work

• Unnamed Item
• Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
• Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
• Dynamic credit investment in partially observed markets
• Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
• Risk-sensitive dynamic asset management
• Continuous exponential martingales and BMO
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
• Optimal portfolio in partially observed stochastic volatility models.
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Optimal investment under multiple defaults risk: a BSDE-decomposition approach
• Partial information about contagion risk, self-exciting processes and portfolio optimization
• Recursive robust estimation and control without commitment
• Robust control and model misspecification
• Quadratic BSDEs with jumps: a fixed-point approach
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
• Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
• Risk-sensitive investment in a finite-factor model
• CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
• Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• Utility maximization in a jump market model
• Portfolio Choice with Market--Credit-Risk Dependencies
• Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching
• Risk-Sensitive Asset Management and Cascading Defaults
• PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION
• PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
• Mean‐Variance Portfolio Selection under Partial Information
• Optimal Investment Under Information Driven Contagious Distress
• Backward SDEs for control with partial information
• Second order PDE's in finite and infinite dimension
• Credit risk: Modelling, valuation and hedging

This page was built for publication: Risk-sensitive credit portfolio optimization under partial information and contagion risk