A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics
Year of publication: |
2017
|
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Authors: | Singh, Arti ; Dharmaraja, Selvamuthu |
Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 6.2017, 2, p. 102-119
|
Subject: | credit risk | credit rating | discrete time Markov chain | DTMC | portfolio optimisation | l∞-norm | efficient frontier | mean absolute deviation | MAD | Theorie | Theory | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Kreditwürdigkeit | Credit rating | Markov-Kette | Markov chain |
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