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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
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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
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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
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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
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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