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20092023
most citedOn a Stochastic Wave Equation Driven by a Non-Gaussian Levy Process

9 citations · 20 across the 22 of their papers we have counts for

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Showing 2016Show all

2 papers · 1 filter

q-fin.PM2016

Optimal Investment under Information Driven Contagious Distress

Lijun Bo, Agostino Capponi

We introduce a dynamic optimization framework to analyze optimal portfolio allocations within an information driven contagious distress model. The investor allocates his wealth acr…

q-fin.PM2016

Robust Optimization of Credit Portfolios

Agostino Capponi, Lijun Bo

We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor m…