Portfolio optimization in a defaultable Lévy-driven market model
Stefano Pagliarani; Tiziano Vargiolu
| Year of publication: |
2015
|
|---|---|
| Authors: | Pagliarani, Stefano ; Vargiolu, Tiziano |
| Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 37.2015, 3, p. 617-654
|
| Subject: | Utility maximization | Defaultable assets | Regime-switching models | HJB equation | Logarithmic utility | Portfolio-Management | Portfolio selection | Nutzen | Utility | Optionspreistheorie | Option pricing theory | Erwartungsnutzen | Expected utility |
| 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/10011296739