Risk-sensitive asset management and cascading defaults
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 …
possibility of cascading defaults. Default events have an impact on the distress state of the …
Risk sensitive portfolio optimization with default contagion and regime-switching
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit
market with default contagion. The state space of the Markovian regime-switching process is …
market with default contagion. The state space of the Markovian regime-switching process is …
Risk-sensitive credit portfolio optimization under partial information and contagion risk
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-
switching credit market with physical and information-induced default contagion. It is …
switching credit market with physical and information-induced default contagion. It is …
Optimal active lifetime investment
Optimal decision-making regarding investments is important. In this study, we examine how
an individual aims to find optimal investment policies to overcome a benchmarked opponent …
an individual aims to find optimal investment policies to overcome a benchmarked opponent …