Risk Sensitive Portfolio Optimization with 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 assumed to be a countably infinite set.... [ view full abstract ]


  1. Xiang Yu (The Hong Kong Polytechnic University)
  2. Lijun Bo (University of Science and Technology of China)
  3. Huafu Liao (University of Science and Technology of China)

Topic Areas

Asset Allocation , Credit Risk , Partial Differential Equations


MO-A-SY » Portfolio Choice and Beyond (11:30 - Monday, 16th July, Synge)

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