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Persistent link: https://www.econbiz.de/10014490307
We consider an optimal risk-sensitive portfolio allocation problem accounting for the possibility of cascading defaults. Default events have an impact on the distress state of the surviving stocks in the portfolio. We study the recursive system of non-Lipschitz quasi-linear parabolic HJB-PDEs...
Persistent link: https://www.econbiz.de/10012969492
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