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Portfolio optimization in a defaultable Lévy-driven market model
Pagliarani, Stefano; Vargiolu, Tiziano - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 617-654
Persistent link: https://www.econbiz.de/10011296739
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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Endogenous debt maturity : liquidity risk vs. default risk
Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018
Persistent link: https://www.econbiz.de/10011950510
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Multi-period mean-variance portfolio selection with state-dependent exit probability and bankruptcy state
Wang, Yang; Wu, Yonghong; Zhang, Xinguang - In: Journal of mathematical finance 9 (2019) 2, pp. 152-174
Persistent link: https://www.econbiz.de/10012233377
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Optimal consumption and investment with bankruptcy
Sethi, Suresh P. - 1997
Persistent link: https://www.econbiz.de/10013531567
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The optimal mix of business entities : the value of partial limited liability
Kraizberg, Elli - 1989
Persistent link: https://www.econbiz.de/10000769114
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Modelling techniques for financial markets and bank management
Bertocchi, Marida (ed.); Cavalli, Enrico (contributor);  … - 1996
Persistent link: https://www.econbiz.de/10000562871
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Credit risk assessment considering variations in exposure : application to commitment lines
Fujiwara, Shigeaki - 2008
Persistent link: https://www.econbiz.de/10003650951
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Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives
Wang, Qian - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003320531