Optimal portfolio choice with crash and default risk
Year of publication: |
2022
|
---|---|
Authors: | Müller, Lukas |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 4/5, Art.-No. 2250023, p. 1-31
|
Subject: | constrained optimization | crash | default | minimum constant portfolio | Optimal portfolios | worst-case scenario | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Kreditrisiko | Credit risk | Finanzkrise | Financial crisis | Insolvenz | Insolvency |
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