中国科学技术大学薄立军--中文主页-- Credit Portfolio Selection with Decaying Contagion Intensities, (with A. Capponi and P.C. Chen) Mathematical Finance, Vol. 29, 137-173, 2019 [ SSRN ]

薄立军 ( 教授 )
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Credit Portfolio Selection with Decaying Contagion Intensities, (with A. Capponi and P.C. Chen) Mathematical Finance, Vol. 29, 137-173, 2019 [ SSRN ]

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发布期刊链接：https://onlinelibrary.wiley.com/journal/14679965，，，https://papers.ssrn.com/sol3/Papers.cfm?abstract_id=2665444

上一条： 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 ]

下一条： 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 ]