Partial information about contagion risk, self-exciting processes and portfolio optimization
type: Item
instance of: scholarly article
title: Partial information about contagion risk, self-exciting processes and portfolio optimization
zbMATH Open document ID: 1402.91667
author: Nicole Branger
author: Holger Kraft
author: Christoph Meinerding
publication date: 2018-11-01T00:00:00Z
full work available at URL: http://hdl.handle.net/10419/88730
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6970300
zbMATH Keywords: asset allocation
zbMATH Keywords: contagion
zbMATH Keywords: nonlinear filtering
zbMATH Keywords: hidden state
zbMATH Keywords: self-exciting processes
MaRDI profile type: Publication
OpenAlex ID: W3125960130
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DOI: 10.1016/J.JEDC.2013.10.005
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6970300