Asset allocation with contagion and explicit bankruptcy procedures
type: Item
instance of: scholarly article
title: Asset allocation with contagion and explicit bankruptcy procedures
zbMATH Open document ID: 1153.91533
author: Holger Kraft
author: Mogens Steffensen
published in: Journal of Mathematical Economics
publication date: 2009-02-10T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B32
Mathematics Subject Classification ID: 91B74
zbMATH DE Number: 5505576
zbMATH Keywords: portfolio optimization
zbMATH Keywords: liquidation
zbMATH Keywords: reorganization
zbMATH Keywords: default
zbMATH Keywords: finite state Markov chain
MaRDI profile type: Publication
full work available at URL: j.jmateco.2008.08.006
OpenAlex ID: W2073087562
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DOI: 10.1016/J.JMATECO.2008.08.006
description: scientific article; zbMATH DE number 5505576