Portfolio optimization for credit-risky assets under Marshall–Olkin dependence
Year of publication: |
2019
|
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Authors: | Mai, Jan-Frederik |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 26.2019, 6, p. 598-618
|
Subject: | Mean-variance optimality | Marshall-Olkin distribution | exponential Lévy model | power utility | logarithmic utility | portfolio optimization | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
Description of contents: | Description [doi.org] |
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