Narrow search
Showing 1 - 5 of 5
Cover Image
A dynamic network model of interbank lending-systemic risk and liquidity provisioning
Capponi, Agostino; Sun, Xu; Yao, David D. - In: Mathematics of operations research 45 (2020) 3, pp. 1127-1152
Persistent link: https://www.econbiz.de/10012293374
Cover Image
Robust optimization of credit portfolios
Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 1, pp. 30-56
Persistent link: https://www.econbiz.de/10011654555
Cover Image
Optimal credit investment with borrowing costs
Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 2, pp. 546-575
Persistent link: https://www.econbiz.de/10011684545
Cover Image
Risk-sensitive asset management and cascading defaults
Birge, John R.; Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 43 (2018) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011818644
Cover Image
Power forward performance in semimartingale markets with stochastic integrated factors
Bo, Lijun; Capponi, Agostino; Zhou, Chao - In: Mathematics of operations research 48 (2023) 1, pp. 288-312
Persistent link: https://www.econbiz.de/10014312552