Dynamic portfolio optimization with a defaultable security and regime-switching
Agostino Capponi; José E. Figueroa-López
| Year of publication: |
2014
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|---|---|
| Authors: | Capponi, Agostino ; Figueroa-López, José E. |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 2, p. 207-249
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| Subject: | dynamic portfolio optimization | credit risk | regime-switching models | utility maximization | Hamilton-Jacobi-Bellman equations | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Theorie | Theory | Dynamische Optimierung | Dynamic programming | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010357378