Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching

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 countably infinite set. To characterize the value function, we investigate the corresponding recurs...

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Hauptverfasser:	Bo, Lijun, Liao, Huafu, Yu, Xiang
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Optimization and Control Mathematics - Probability Quantitative Finance - Portfolio Management
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