Optimal portfolios with credit default swaps
Year of publication: |
2018
|
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Authors: | Ambrosini, Giuseppe ; Menoncin, Francesco |
Published in: |
Journal of financial services research : JFSR. - Dordrecht [u.a.] : Springer Science + Business Media Inc., ISSN 0920-8550, ZDB-ID 1027136-3. - Vol. 54.2018, 1, p. 81-109
|
Subject: | Credit default swap | Optimal dynamic programming | Hyperbolic absolute risk aversion | Theorie | Theory | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Risikoaversion | Risk aversion | Swap |
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