arXiv (All)
open access
Optimal credit portfolio and consumption with regime switching and default contagion
We study an optimal portfolio and consumption problem in a regime-switching multi-name credit market with default contagion. Default events not only generate direct portfolio losses but also alter the default intensities of surviving securities. Under a Cobb-Douglas utility, the homogeneity property
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Linear Risk Sharing in Community-Based Insurance: Ruin Reduction in the Compound Poisson Model#1069771
- On liability dollarization: a simple model with domestic and foreign creditors#467863
- Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment#1000418
- Portfolio Choice with Competing Precautionary and Accumulation Goals#1118590
- Risk Aversion and Allocation to Long-Term Bonds#942762
Record · ID 1035557
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive