Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching

Lijun Bo, Huafu Liao, Xiang Yu. Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. SIAM J. Control and Optimization, 57(1):366-401, 2019. [doi]

Authors

Lijun Bo

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Huafu Liao

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Xiang Yu

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