Dynamic Portfolio Optimization with Looping Contagion Risk


We consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stock prices of itself and another company, and the default of... [ view full abstract ]


  1. Longjie Jia (Imperial College London)
  2. Martijn Pistorius (Imperial College London)
  3. Harry Zheng (Imperial College London)

Topic Areas

Asset Allocation , Optimal Control , Optimal Investment


WE-P-B1 » Optimal Control and Optimal Investment 2 (14:30 - Wednesday, 18th July, Beckett 1)

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