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]
@article{BoLY19,
title = {Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching},
author = {Lijun Bo and Huafu Liao and Xiang Yu},
year = {2019},
doi = {10.1137/18M1166274},
url = {https://doi.org/10.1137/18M1166274},
researchr = {https://researchr.org/publication/BoLY19},
cites = {0},
citedby = {0},
journal = {SIAM J. Control and Optimization},
volume = {57},
number = {1},
pages = {366-401},
}