Optimal investment with counterparty risk: a default-density model approach
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References listed on IDEAS
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More about this item
KeywordsCounterparty risk; Contagious loss or gain; Density of default time; Optimal investment; Duality; Dynamic programming; Backward stochastic differential equation (BSDE); 60J75; 91B28; 93E20; G01; G11;
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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