Dynamic credit investment in partially observed markets
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Publication:889624
DOI10.1007/s00780-015-0272-0zbMath1323.93073arXiv1303.2950OpenAlexW1832975342MaRDI QIDQ889624
José E. Figueroa-López, Agostino Capponi, Andrea Pascucci
Publication date: 9 November 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.2950
Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items (11)
Optimal investment and consumption strategies for pooled annuity with partial information ⋮ Large-Scale Loan Portfolio Selection ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ Robust Optimization of Credit Portfolios ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ The optimal investment, liability and dividends in insurance ⋮ Optimal Investment Under Information Driven Contagious Distress ⋮ Risk-Sensitive Asset Management and Cascading Defaults ⋮ Smart Indexing Under Regime-Switching Economic States ⋮ Risk-sensitive credit portfolio optimization under partial information and contagion risk
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