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"Dynamic Portfolio Optimization with Looping Contagion Risk."

Longjie Jia, Martijn Pistorius, Harry Zheng (2019)

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DOI: 10.1137/17M1154424

access: closed

type: Journal Article

metadata version: 2019-05-31

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Longjie Jia, Martijn Pistorius, Harry Zheng:
Dynamic Portfolio Optimization with Looping Contagion Risk. SIAM J. Financial Math. 10(1): 1-36 (2019)

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