Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space
Year of publication: |
2009-01-01
|
---|---|
Authors: | Dunbar, Kwamie |
Publisher: |
UConn |
Subject: | Dynamic Optimization | Credit Risk | Mean-Variance Analysis | Linear Quadratic Control | Credit Default Swaps | Capital Market Line | Gram-Charlier expansion | unsystematic risks |
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