A risk-based approach for asset allocation with a defaultable share
Year of publication: |
March 2018
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Authors: | Shen, Yang ; Siu, Tak Kuen |
Subject: | asset allocation | sub-additive convex risk measure | default risk | self-exciting threshold | diffusion model | time delay | Portfolio-Management | Portfolio selection | Theorie | Theory | Kreditrisiko | Credit risk | Risiko | Risk | Risikomaß | Risk measure |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks6010014 [DOI] hdl:10419/195807 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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