Optimal investment strategy for asset-liability management with a defaultable bond under stochastic default intensity
This paper studies a continuous-time asset-liability management problem with a defaultable bond under stochastic interest rates and stochastic default intensity. Specifically, an asset-liability manager is allowed to invest in a cash, a treasury bond, a defaultable bond and a stock. Using the stocha...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2024-12-01
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| Series: | Systems Science & Control Engineering |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/21642583.2024.2317335 |