Portfolio optimization with insider’s initial information and counterparty risk
Year of publication: |
2015
|
---|---|
Authors: | Hillairet, Caroline ; Jiao, Ying |
Published in: |
Finance and Stochastics. - Springer. - Vol. 19.2015, 1, p. 109-134
|
Publisher: |
Springer |
Subject: | Asymmetric information | Enlargement of filtrations | Counterparty risk | Optimal investment | Duality | Dynamic programming |
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