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Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching
Work
Year: 2019
Type: article
Abstract: We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a... more
Source: SIAM Journal on Control and Optimization
Authors Lijun Bo, Huafu Liao, Xiang Yu
Institutions Chinese Academy of Sciences, University of Science and Technology of China, Hong Kong Polytechnic University
Cites: 23
Cited by: 11
Related to: 10
FWCI: 2.09
Citation percentile (by year/subfield): 86.08
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: green
Funders National Natural Science Foundation of China, Chinese Academy of Sciences Key Project
Grant IDS 11471254, QYZDB-SSW-SYS009