Optimal Investment Under Information Driven Contagious Distress
From MaRDI portal
Publication:5737638
DOI10.1137/140972342zbMath1414.91331arXiv1612.06133OpenAlexW3125150247MaRDI QIDQ5737638
Publication date: 24 May 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.06133
Dynamic programming in optimal control and differential games (49L20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)
Related Items
Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk, Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach, A regime switching model for temperature modeling and applications to weather derivatives pricing, Risk-sensitive credit portfolio optimization under partial information and contagion risk, Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm, Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Applied stochastic control of jump diffusions.
- Heterogeneous credit portfolios and the dynamics of the aggregate losses
- Dynamic credit investment in partially observed markets
- Optimal investment under partial information
- Asset allocation with contagion and explicit bankruptcy procedures
- Generalized solutions of HJB equations applied to stochastic control on Hilbert space
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Global regular solutions of second order Hamilton-Jacobi equations in Hilbert spaces with locally Lipschitz nonlinearities
- Expected power-utility maximization under incomplete information and with Cox-process observations
- HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition
- Expected log-utility maximization under incomplete information and with Cox-process observations
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Pricing and trading credit default swaps in a hazard process model
- Existence and uniqueness of solutions to a quasilinear parabolic equation with quadratic gradients in financial markets
- Portfolio optimization with a defaultable security
- Markov chain Monte Carlo methods for switching diffusion models
- OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK
- An optimal portfolio problem in a defaultable market
- PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
- Sobolev Weak Solutions of the Hamilton--Jacobi--Bellman Equations
- Investment/Consumption Problem in Illiquid Markets with Regime-Switching
- Stochastic equations and krylov's estimates for semimartingales
- No Arbitrage and General Semimartingales
- User’s guide to viscosity solutions of second order partial differential equations
- Foundations of Modern Probability
- PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Modeling and Forecasting Realized Volatility
- Second order PDE's in finite and infinite dimension
- Credit risk: Modelling, valuation and hedging
