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OPTIMAL GROWTH IN CONTINUOUS-TIME WITH CREDIT RISK
1999
Probability in the engineering and informational sciences (Print)
We consider asset allocation strategies for the case where an investor can allocate his wealth dynamically between a risky stock, whose price evolves according to a geometric Brownian motion, and a risky bond, whose price is subject to negative jumps due to its credit risk and therefore has discontinuous sample paths+ We derive optimal policies for a number of objectives related to growth+ In particular, we obtain the policy that minimizes the expected time to reach a given target value of
doi:10.1017/s0269964899132017
fatcat:yeojkqqkmfhvxf3nv4mqe5arpe