OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK
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Publication:2831003
DOI10.1111/mafi.12074zbMath1348.91248OpenAlexW3122361035MaRDI QIDQ2831003
Publication date: 1 November 2016
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12074
Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)
Related Items (18)
Approximating Nash equilibrium for production control with sticky price ⋮ Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk ⋮ Portfolio Choice with Market--Credit-Risk Dependencies ⋮ Dynamic credit investment in partially observed markets ⋮ Family optimal investment strategy for a random household expenditure under the CEV model ⋮ Large-Scale Loan Portfolio Selection ⋮ Pricing European options under stochastic looping contagion risk model ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Dynamic investment and counterparty risk ⋮ Robust Optimization of Credit Portfolios ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ Optimal bookmaking ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ Dynamic Portfolio Optimization with Looping Contagion Risk ⋮ Credit portfolio selection with decaying contagion intensities ⋮ Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion ⋮ Portfolio optimization of credit swap under funding costs ⋮ Optimal dividend strategy for an insurance group with contagious default risk
Cites Work
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- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
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