INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS

DOI10.1142/S0219024914500502zbMath1304.91188arXiv1312.6032MaRDI QIDQ2939921

Giulia Di Nunno, Steffen Sjursen

Publication date: 23 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.6032

zbMATH Keywords

informationoptimal portfoliodefault riskinsiderforward integrals

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Portfolio Choice with Market--Credit-Risk Dependencies

Cites Work

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