Stefano Pagliarani, Tiziano Vargiolu. Portfolio optimization in a defaultable Lévy-driven market model. OR Spectrum, 37(3):617-654, 2015. [doi]
@article{PagliaraniV15,
title = {Portfolio optimization in a defaultable Lévy-driven market model},
author = {Stefano Pagliarani and Tiziano Vargiolu},
year = {2015},
doi = {10.1007/s00291-014-0374-7},
url = {https://doi.org/10.1007/s00291-014-0374-7},
researchr = {https://researchr.org/publication/PagliaraniV15},
cites = {0},
citedby = {0},
journal = {OR Spectrum},
volume = {37},
number = {3},
pages = {617-654},
}