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英文标题：
《Dynamic Portfolio Optimization with Looping Contagion Risk》
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作者：
Longjie Jia, Martijn Pistorius, Harry Zheng
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最新提交年份：
2018
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英文摘要：
In this paper we consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stock prices of itself and other companies, and the default of the company induces immediate drops in the stock prices of the surviving companies. We prove that the value function is the unique viscosity solution of the HJB equation. We also perform some numerical tests to compare and analyse the statistical distributions of the terminal wealth of log utility and power utility based on two strategies, one using the full information of intensity process and the other a proxy constant intensity process.
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中文摘要：
本文研究了一类具有可违约股票和循环传染风险的效用最大化问题。我们假设一家公司的违约强度取决于其自身和其他公司的股价，而该公司的违约会导致幸存公司的股价立即下跌。证明了该值函数是HJB方程的唯一粘性解。我们还进行了一些数值试验，比较和分析了基于两种策略的对数效用和幂效用的最终财富的统计分布，一种是利用强度过程的全部信息，另一种是代理常数强度过程。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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