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Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded
Kraft, Holger - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 767-796
Persistent link: https://www.econbiz.de/10003911240
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Optimal portfolios with defaultable securities a firm value approach
Korn, Ralf; Kraft, Holger - In: International journal of theoretical and applied finance 6 (2003) 8, pp. 793-819
Persistent link: https://www.econbiz.de/10001862125
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Factor copula model for portfolio credit risk
Kim, Sung Ik; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
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Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012652709