Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching

DOI10.1137/18M1166274zbMath1442.91085arXiv1712.05676OpenAlexW2896493696MaRDI QIDQ4614935

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Publication date: 1 February 2019

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

Full work available at URL: https://arxiv.org/abs/1712.05676

zbMATH Keywords

regime switchingrisk-sensitive controldefault contagionverification theoremscountably infinite statesrecursive dynamical programming equations

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (6)

Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk ⋮ Optimal dividend strategy for an insurance group with contagious default risk

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