Robust optimization of credit portfolios
Year of publication: |
February 2017
|
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Authors: | Bo, Lijun ; Capponi, Agostino |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 42.2017, 1, p. 30-56
|
Subject: | robust control | credit risk | recursive system | HJB equations | Theorie | Theory | Kreditrisiko | Credit risk | Robustes Verfahren | Robust statistics | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
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