Optimal Credit Investment with Borrowing Costs

DOI10.1287/moor.2016.0818zbMath1414.91332OpenAlexW3121777704MaRDI QIDQ5739155

Agostino Capponi, Li Jun Bo

Publication date: 2 June 2017

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2016.0818

zbMATH Keywords

credit riskdynamic programming equationportfolio decisionsborrowing costs

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Credit risk (91G40)

Related Items (5)

Binary funding impacts in derivative valuation ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ Portfolio optimization of credit swap under funding costs ⋮ Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs ⋮ Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs

This page was built for publication: Optimal Credit Investment with Borrowing Costs