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"Risk Sensitive Portfolio Optimization with Default Contagion and ..."
Lijun Bo, Huafu Liao, Xiang Yu (2019)
- Lijun Bo, Huafu Liao, Xiang Yu:
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. SIAM J. Control. Optim. 57(1): 366-401 (2019)
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