Portfolio optimization for credit-risky assets under Marshall–Olkin dependence
Jan-Frederik Mai
| Year of publication: |
2019
|
|---|---|
| Authors: | Mai, Jan-Frederik |
| Subject: | Mean-variance optimality | Marshall-Olkin distribution | exponential Lévy model | power utility | logarithmic utility | portfolio optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Nutzen | Utility | Risikomaß | Risk measure |
| Description of contents: | Description [doi.org] |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2020.1727755 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210432