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Portfolio optimization of credit risky bonds: A semi-Markov process approach

Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial Innovation 6 (2020) 1, pp. 1-14

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on lÉ-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...

Persistent link: https://www.econbiz.de/10012602859

The dynamic behaviour of non-homogeneous single-unireducible Markov and semi-Markov chains

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Networks, topology and dynamics : theory and …, (pp. 195-211). 2009

Persistent link: https://www.econbiz.de/10003774325

Homogeneous and non-homogeneous semi-Markov backward credit risk migration models

D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - In: Financial hedging, (pp. 3-55). 2009

Persistent link: https://www.econbiz.de/10008799134

A non-homogeneous semi-Markov reward model for the credit spread computation

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10008992173

A system maintenance approach to analyzing the Italian judicial system reform proposal of 2010

D'Amico, Guglielmo; Manca, Raimondo - In: Socio-economic planning sciences : the international … 46 (2012) 3, pp. 205-215

Persistent link: https://www.econbiz.de/10009575152

Discrete time non-homogeneous semi-markov reliability transition credit risk models and the default distribution functions

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Computational economics 38 (2011) 4, pp. 465-481

Persistent link: https://www.econbiz.de/10009356876

A customer's utility measure based on the reliability of multi-state systems

D'Amico, Guglielmo; Di Biase, Giuseppe; Manca, Raimondo - In: Decisions in economics and finance : DEF ; a journal of … 34 (2011) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10009375170

Measuring income inequality : an application of the population dynamic Theil's entropy

D'Amico, Guglielmo; Di Biase, Giuseppe; Manca, Raimondo - In: Accounting & taxation : AT 7 (2015) 1, pp. 103-114

Persistent link: https://www.econbiz.de/10011289147

Income inequality dynamic measurement of Markov models : application to some European countries

D'Amico, Guglielmo; Di Biase, Giuseppe; Manca, Raimondo - In: Economic modelling 29 (2012) 5, pp. 1598-1602

Persistent link: https://www.econbiz.de/10009667189

Effects on taxation on the forecasting of income inequality : evidence from Germany, Greece, and Italy

D'Amico, Guglielmo; Di Biase, Giuseppe; Manca, Raimondo - In: Panoeconomicus 60 (2013) 6, pp. 707-723

Persistent link: https://www.econbiz.de/10010353786

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