A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics
Arti Singh and Selvamuthu Dharmaraja
| 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
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| Subject: | credit risk | credit rating | discrete time Markov chain | DTMC | portfolio optimisation | l∞-norm | efficient frontier | mean absolute deviation | MAD | Kreditrisiko | Credit risk | Kreditwürdigkeit | Credit rating | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Theorie | Theory | Anleihe | Bond | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011862377