Portfolio optimization in a defaultable Lévy-driven market model

DOI10.1007/s00291-014-0374-7zbMath1318.91186OpenAlexW2130529165MaRDI QIDQ2516636

Stefano Pagliarani, Tiziano Vargiolu

Publication date: 3 August 2015

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-014-0374-7

zbMATH Keywords

Hamilton-Jacobi-Bellman equationutility maximizationregime-switching modelslogarithmic utilitydefaultable assets

Mathematics Subject Classification ID

Related Items (2)

Value functions in a regime switching jump diffusion with delay market model ⋮ Financial optimization: optimization paradigms and financial planning under uncertainty

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