Information and optimal investment in defaultable assets
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References listed on IDEAS
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Jeanblanc, Monique & Martellini, Lionel, 2008. "Optimal investment decisions when time-horizon is uncertain," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1100-1113, December.
- Yuanfeng Hou & Xiangrong Jin, 2002. "Optimal Investment With Default Risk," FAME Research Paper Series rp46b, International Center for Financial Asset Management and Engineering.
- repec:dau:papers:123456789/1803 is not listed on IDEAS
- El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2010. "What happens after a default: The conditional density approach," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1011-1032, July.
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Cited by:
- Lijun Bo & Agostino Capponi, 2018. "Portfolio Choice with Market-Credit Risk Dependencies," Papers 1806.07175, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-UPT-2013-12-29 (Utility Models and Prospect Theory)
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