Portfolio optimization with insider's initial information and counterparty risk
Caroline Hillairet, Ying Jiao
| Year of publication: |
January 2015
|
|---|---|
| Authors: | Hillairet, Caroline ; Jiao, Ying |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 1, p. 109-134
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| Subject: | Asymmetric information | Enlargement of filtrations | Counterparty risk | Optimal investment | Duality | Dynamic programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Asymmetrische Information | Dynamische Optimierung | Kreditrisiko | Credit risk | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-014-0246-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011417122