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20172020
most citedRisk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk

2 citations · 3 across the 7 of their papers we have counts for

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q-fin.PM2017

Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching

Lijun Bo, Huafu Liao, Xiang Yu

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 proces…