薄立军
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MORE+- [1]Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching, (with H.F. Liao and X. Yu) SIAM Journal on Control and Optimization, Vol. 57(1), 366-401, 2019 [ Arxiv ].
- [2]Credit Portfolio Selection with Decaying Contagion Intensities, (with A. Capponi and P.C. Chen) Mathematical Finance, Vol. 29, 137-173, 2019 [ SSRN ].
- [3]Risk Sensitive Asset Management and Cascading Defaults, (with J. Birge and A. Capponi) Mathematics of Operations Research, Vol. 43, pp. 1-28, 2018 [ SSRN ]; Press Coverage: [ Chicago Booth Review ].
- [4]Stochastic Delay Differential Equations with Jump Reflection: Invariant Measure, (with C.G. Yuan) Stochastics, Vol. 88, No. 6, pp. 841-863, 2016 [ arXiv ].
- [5]Optimal Investment in Credit Derivatives Portfolio under Contagion Risk, (with A. Capponi) Mathematical Finance, Vol. 26, No. 4, pp. 785-834, 2016 [ SSRN ].
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