Portfolio Choice with Market--Credit-Risk Dependencies

DOI10.1137/16M1084092zbMath1415.91254arXiv1806.07175OpenAlexW2809135529WikidataQ129354561 ScholiaQ129354561MaRDI QIDQ4582831

Agostino Capponi, Li Jun Bo

Publication date: 24 August 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.07175

zbMATH Keywords

credit riskstochastic factorsmartingale methodinvestment/consumption problemrecursive system of PDEs

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (6)

Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk ⋮ Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

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